European Central Bank analysts have found that information leaks may help explain price movements in financial markets before the release of important U.S. macroeconomic data.

In a research paper published on Monday, the bank said it investigated the impact of 21 market-moving announcements on the S&P E-mini futures market and 10-year Treasury note futures from January 2008 to March 2014, finding evidence of “substantial informed trading” in advance of the official release time of seven of the announcements.

“Based on a back-of-the-envelope calculation, we estimate that since 2008 in the S&P E-mini futures market alone the profits associated with trading prior to the official announcement release time have amounted to about $20 million per year,” the paper said.

The researchers found that prices began to move in the direction consistent with the announcement surprise about 30 minutes before the release time, implying that “some traders have private information about macroeconomic fundamentals.”

“The evidence suggests that the pre-announcement drift likely comes from a combination of information leakage and superior forecasting based on proprietary data collection and reprocessing of public information,” the bank concluded.

The data that showed “strong” evidence of pre-announcement price moves included the Conference Board’s consumer confidence index, existing home sales, preliminary GDP, industrial production, the Institute of Supply Management’s non-manufacturing and manufacturing indices, and pending home sales, according to the ECB.

“[T]he total impact of macroeconomic news on financial markets is larger, and financial markets are linked more tightly to the real economy, than usually found,” the paper said.

In three instances of pre-announcement drift, the data was “released under rather lax procedures,” the bank noted, adding that “Whether the drift in announcements with seemingly stronger safeguarding of data is also due to leakage or massive data collection and forecasting power of some market participants remains an open question.”

The paper recommends that strict release procedures be implemented for all market-moving announcements including those originating in the private sector.

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