Topic: Early Peek Advantage?  

Speaker: Xing Hu, Assistant Professor of Finance, School of Economics and Finance and School of Business, University of Hong Kong

Date: April 26th (Wednesday)

Time: 10:00-11:30am  

Location: Building 4, Room 101

Language: English

Abstract:

From 2007 to June 2013, a small group of fee-paying, high-speed traders receive the Michigan Index of Consumer Sentiment two seconds before its broader release. Within this early peek window, we find highly concentrated trading and a fast price discovery of less than 200 milliseconds. Outside this narrow window, general investors trade at fully adjusted prices. We further establish a casual relationship between the early peek mechanism and the fast price discovery by isolating the impact of the early peek arrangement along two dimensions. In cross section, we use other news releases without the early peek (as controls); in time series, we use the sudden suspension of the early peek arrangement in July 2013 (as the treatment). Our difference-in-difference tests directly connect the early peek arrangement to more efficient price discovery - it results in faster price discovery, lower volatility, and faster resolution of uncertainty. These results show that contrary to the common perception, tiered information release may help to reduce, rather than enhance, the informational advantage of the faster traders.

About the speaker:

Dr. Grace Xing Hu received her PhD in Economics from Princeton University, and joined the University of Hong Kong in 2011. She also holds a BS in Computer Science from University of Science and Technology of China and a MS from Northwestern University. She has a joint appointment as Assistant Professor of Finance in the School of Economics and Finance and the School of Business. Dr. Hu's research focuses on empirical asset pricing, in particular, liquidity, credit risk and financial crises. She has published on top finance journals including Journal of Finance and Journal of Financial Economics and is an ad hoc reviewer for several journals including Management Science, Journal of Financial and Quantitative Analysis, Journal of Empirical Asset Pricing and Review of Finance.