On the impact of macroeconomic news surprises on treasury-bond returns

DOI10.1007/S10436-015-0271-3zbMath1398.91581OpenAlexW622541387MaRDI QIDQ300688

Nicolas Boitout, Imane El Ouadghiri, Valérie Mignon

Publication date: 28 June 2016

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-015-0271-3

zbMATH Keywords

bond marketevent studyhigh frequency datamacroeconomic news

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Economics of information (91B44)

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Cites Work

• A decision-theoretic model of asset-price underreaction and overreaction to dividend news
• The Effect of Category Choice on Some Ordinal Measures of Association

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