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, but noisy, information about (i) the timing of the announcement and (ii) its impact on stock prices. Our theoretical …
Persistent link: https://www.econbiz.de/10011541417
Macro announcements change the equilibrium riskfree rate. We find that treasury prices reflect part of the impact instantaneously, but intermediaries rely on their customer order flow in the 15 minutes after the announcement to discover the full impact. We show that this customer flow...
Persistent link: https://www.econbiz.de/10003863839