Profitable opportunities around macroeconomic announcements in the U.S. Treasury market

This thesis studies the impact of macroeconomic announcements on the U.S. Treasury market and investigates profitable opportunities around macroeconomic announcements using data from the eSpeed electronic trading platform. We investigate how macroeconomic announcements affect the return predictability of trade imbalance for the 2-year, 5-year, IO-year U.S. Treasury notes and 30-year U.S. Treasury bonds. The goal of this thesis is to develop a methodology to identify informed trades and estimate the trade imbalance based on informed trades. We use the daily order book slope as a proxy for dispersion of beliefs among investors. Regression results in this thesis indicate that, on announcement days with a high dispersion of beliefs, daily trade imbalance estimated by informed trades significantly predicts returns on the following day. In addition, we develop a trade-imbalance based trading strategy conditional on dispersion of beliefs, informed trades, and announcement days. The trading strategy yields significantly positive net returns for the 2-year T-notes.

Sullivan Agent Confesses, [1948]

The National Seaman’s Association was a labour recruiter hiding behind a union-like name. It was run by H.N. McMaster who collected fees from companies and dues from workers. With McMaster in charge, shipping interests could claim that their seamen had a union, but ship-owners were free to push their vessels and their workers to the breaking point. In 1935, the members on the Great Lakes decided to strike. One year later, they created their own union and amalgamated with a Montreal-based independent body to create the Canadian Seamen’s Union headed by a ship’s cook who became a union leader, John Allan Patrick “Pat” Sullivan. By the late 1940s, almost all sailors on Canadian ships were CSU members. Right from its inception in 1936, Communists were prominent among the leaders of the union. Sullivan had been recruited to the Communist party that year and the union had a close rapport with the party. On June 8, 1940, Pat Sullivan was arrested because of his affiliation with the Communist party. He was incarcerated until March 20, 1942. No charges were laid, no bail was set and there was no trial. After his release, Sullivan was elected second vice-president of the Trades and Labour Congress of Canada. In 1943, Percy Bengough was elected as president and Sullivan was elected as secretary treasurer of the TLC while maintaining his role as president of the CSU. On March 14, 1947 Sullivan made a shocking announcement that he was resigning from the CSU and the Labor-Progressive Party. He claimed that the CSU was under the full control of the Communists. Within a month of this announcement, he emerged as the president of the Canadian Lake Seamen’s Union. Ship-owners never really reconciled themselves to having their industry unionized, and in 1946 there was a seamen’s strike in which the union won the eight-hour day. In 1949, the shipping companies had a plan to get rid of the union and were negotiating behind their back with the Seafarers International Union (SIU). In a brutal confrontation, led by Hal Banks, an American ex-convict, the SIU was able to roust the CSU and take over the bargaining rights of Canadian seamen. On July 15, 1948, Robert Lindsay, who was Sullivan’s Welland business agent said that to the best of his knowledge, Sullivan’s outfit, the CLSU, was under the control of some of the Steamship Companies. Lindsay had heard that there was a movement to get rid of Bengough of the Trades and Labour Congress as well as elements of the CSU. He also had heard that the CLSU wanted to affiliate with the American Federation of Labor. Lindsay’s allegations raised the questions: Were the ship-owners powerful enough to oust Percy Bengough because he supported the seamen? Could the CLSU get an affiliation with the American Federation of Labor? and Would the American Federation of Labor actually affiliate with a union that was siding with employers against a locked-out union?