Article
Information shocks, disagreement, and drift
Journal of Financial Economics
(2021)
Abstract
We examine the effects of investor disagreement on price discovery using a recurring public information event in the highly liquid crude oil futures market, a market free of short sale constraints. We show that prices reflect positive news within one-half second of trading but continue to drift for five minutes when news is negative. Evidence suggests the drift arises from a systematic surge in buying pressure that impedes the price discovery process when news is negative. Our results are consistent with price drift arising from differences in trading horizons, where traders taking long positions condition trades on information beyond the news.
Keywords
- Asymmetric price drift,
- Disagreement,
- Intraday news,
- High frequency trading
Disciplines
Publication Date
June, 2021
DOI
https://doi.org/10.1016/j.jfineco.2021.02.002
Citation Information
Will J Armstrong, Laura Cardella and Nasim Sabah. "Information shocks, disagreement, and drift" Journal of Financial Economics Vol. 140 Iss. 3 (2021) p. 916 - 940 Available at: http://works.bepress.com/nasim-sabah/8/