主题：Early Peek Advantage?（提前获得信息是否有优势？）

主讲人：胡杏，香港大学经济欧洲杯外围竞猜_欧洲杯盘口-投注|官网学院欧洲杯外围竞猜_欧洲杯盘口-投注|官网学助理教授

日期：2017年4月26日（周三）

时间：上午10:00-11:30

地点：清华五道口欧洲杯外围竞猜_欧洲杯盘口-投注|官网学院4号楼101教室

语言：英文

摘要：

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.