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Public information and the persistence of bond market volatility

Jones, Charles M.; Lamont, Owen A.; Lumsdaine, Robin L. - 1996

Persistent link: https://www.econbiz.de/10000572757

Public information and the persistence of bond market volatility

Jones, Charles M.; Lamont, Owen A.; Lumsdaine, Robin L. - 1996

Persistent link: https://www.econbiz.de/10000979431

Macroeconomic news and bond market volatility

Jones, Charles M. - In: Journal of financial economics 47 (1998) 3, pp. 315-337

Persistent link: https://www.econbiz.de/10001234960

Transaction costs and price volatility : evidence from commission deregulation

Jones, Charles M. - In: The American economic review 87 (1997) 4, pp. 728-737

Persistent link: https://www.econbiz.de/10001226847

Shorting at close range : a tale of two types

Comerton-Forde, Carole; Jones, Charles M.; Putniņš, … - In: Journal of financial economics 121 (2016) 3, pp. 546-568

Persistent link: https://www.econbiz.de/10011590861

Public Information and the Persistence of Bond Market Volatility

Jones, Charles M. - 1996

We examine the reaction of daily bond prices to the release of government macroeconomic news. These news releases are of interest because they are released on periodic, preannounced dates and because they cause substantial bond market volatility. The news component of volatility is not...

Persistent link: https://www.econbiz.de/10012473418