Balduzzi, Pierluigi; Elton, Edwin J.; Green, T. Clifton - In: Journal of Financial and Quantitative Analysis 36 (2001) 04, pp. 523-543
This Paper uses intraday data from the interdealer government bond market to investigate the effects of scheduled macroeconomic announcements on prices, trading volume, and bid-ask spreads. We find that 17 public news releases, as measured by the surprise in the announcced quantity, have a...