form of price discovery in the sense that they help to quickly incorporate market information into bond prices …

This paper delineates the simultaneous impact of non-anticipated information on first and second moments of the … about the precise price impact of this information. Analyzing the US employment report, we find that headline information is …

This paper delineates the simultaneous impact of non-anticipated information on first and second moments of the … about the precise price impact of this information. Analyzing the US employment report, we find that headline information is …

mark the arrival of new information to the market, we explore the contribution of jumps in reducing the informational … informative in the proximity of jumps. For the 2- and 5-year maturities, there is a lower level of information asymmetry before … incorporation of new information in prices is not instantaneous but several transactions are needed for the market to completely …

information about macroeconomic fundamentals. Pre-announcement drift might originate from a combination of information leakage and …

on average for about half of the total price adjustment. These results imply that some traders have private information … information leakage and superior forecasting based on proprietary data collection and reprocessing of public information …