Chen, Linda H.
[VerfasserIn]
;
Jiang, George J.
[Sonstige Person, Familie und Körperschaft];
Wang, Qin Emma
[Sonstige Person, Familie und Körperschaft]
Market Reaction to Information Shocks – Does the Bloomberg and Briefing.com Survey Matter?
Anmerkungen:
In: Journal of Futures Markets, Vol. 33, No. 10, 939-964 (2013)
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 25, 2012 erstellt
Beschreibung:
Bloomberg and Briefing.com provide competing forecasts for pre-scheduled macroeconomic announcements. This paper examines the accuracy of these forecasts and market reactions to announcement surprises. Our results show that the Bloomberg survey is slightly more accurate than the Briefing.com survey. More importantly, while announcement surprises based on both surveys have a significant effect on the trading activities and returns of S&P 500 futures contracts, the Bloomberg survey subsumes the explanatory power of the Briefing.com survey. The findings suggest that on average Bloomberg forecasts are more consistent with the market consensus view. In addition, we provide evidence of asymmetric market reactions to positive versus negative announcement surprises. In particular, the market reacts strongly to inflation news in the CPI and PPI announcements and negative shocks in housing price, personal spending, and retail sales