Information shocks, disagreement, and drift

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5 Scopus citations


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.

Original languageEnglish
Pages (from-to)916-940
Number of pages25
JournalJournal of Financial Economics
Issue number3
StatePublished - Jun 2021


  • Asymmetric price drift
  • Disagreement
  • High frequency trading
  • Intraday news


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