The 4 linked references in paper Alexander Kurov, Alessio Sancetta, Georg H. Strasser, Marketa Halova Wolfe (2015) “Price Drift before U.S. Macroeconomic News: Private Information about Public Announcements?” / RePEc:boc:bocoec:881

  1. Brunnermeier, M. K. (2005). Information leakage and market efficiency.Review of Financial Studies,18, 417–457.
  2. Diebold, F. X. (2015). Comparing predictive accuracy, twenty years later: A personal perspective on the use and abuse of Diebold-Mariano tests.Journal of Business &
  3. Working Paper.
  4. Kyle, A. S. (1985). Continuous auctions and insider trading.Econometrica,53, 1315–1335.