This study provides a new and economically plausible explanation for turn‐of‐the‐month and intramonth anomalies. It is suggested that these anomalies arise from clustered information, namely from important macroeconomic news announcements, which are released systematically at a certain...

<section xml:id="fut21596-sec-0001"> This paper examines the association between option‐implied interest rate distributions and macroeconomic expectations in the context of a forward‐looking monetary policy rule. We presume that market participants view the policy rule as a guide to the path of future policy rates and price...</section>

This article examines the impact of macroeconomic news announcements on bond market expectations, as measured by option‐implied probability distributions of future bond returns. The results indicate that expected bond market volatilities increase in response to higher‐than‐expected...

This study examines how the Fed's monetary policy decisions affect the implied volatility of the S&P 500 index. The results show that stock market uncertainty is significantly affected by the Fed's policy decisions. In particular, we find that implied volatility generally decreases after FOMC...