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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
trading has caused prices to fully incorporate the information. The evidence supports the last hypothesis. The paper thus …
Persistent link: https://www.econbiz.de/10009768852