Releases of Previously Published Information Move Aggregate Stock Prices ∗

We document that a recurring release of already publicly available macro economic information, in the form of the U.S. Leading Economic Index (LEI), has a significant impact on aggregate stock returns, volatility and volume. This is despite the fact that a) it is widely known that the index is based on previously published data, and b) the exact procedure used to construct the index is also publicly available and, in fact, relatively easy to follow. This phenomenon of course constitutes a violation of semi-strong market efficiency and suggests that aggregate stock prices are not always able to correctly determine the incremental news content of information releases. However, the findings could stem from costly information acquisition combined with limits to arbitrage. To test that, we investigate the cross-sectional response to the announcement. Contrary ∗We would like to thank the Conference Board for providing us with the data. We wish to thank Frank Tortorici and Ken Goldstein for their help. The views expressed in this paper are those of the author and do not necessarily represent those of The Conference Board. All errors remain ours. †Haas School of Business, University of California, Berkeley, e-mail: [email protected] ‡GSIA, Carnegie-Mellon University, e-mail: [email protected] §Corresponding author: London Business School, Sussex Place, Regent’s Park, NW1 4SA, London, United Kingdom, +44-(0)20-7262-5050, e-mail: [email protected] ¶The Conference Board, email: [email protected] to the information acquisition cost explanation, we find that stocks that have higher sensitivity to macro economic fluctuations respond less to the release of the LEI.