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Macro Surprises And Short-Term Behaviour In Bond Futures

Durenard, Eugene; Veredas, David - Centre Interuniversitaire de Recherche en Analyse des … - 2002

This paper analyses how the macro news affect the future price of the ten year Treasure bond future (TY), one of the most important US bonds. We consider different fundamentals and we analyze the effect of their forecasting errors conditionally on their sign and the momentum of the business...

Persistent link: https://www.econbiz.de/10005169007

Macro surprises and short-term behaviour in bond futures

DURENARD, Eugene; VEREDAS, David - Center for Operations Research and Econometrics (CORE), … - 2002

This paper analyses how the macro news affect the future price of the ten year Treasure bond future (TY), one of the mostimportant US bonds. We consider different fundamentals and we analyze the effect of their forecasting errors conditionally on their sign and the momentum of the business...

Persistent link: https://www.econbiz.de/10005043514

Macroeconomic announcements and stock returns in US portfolios formed on operating profitability and investement

Alexiou, Constantinos; Vogiazas, Sofoklis; Taqvi, Abid - In: Investment management and financial innovations 15 (2018) 1, pp. 68-89

Persistent link: https://www.econbiz.de/10012001322

How do commodity futures respond to macroeconomic news?

Hess, Dieter E.; Huang, He; Niessen-Ruenzi, Alexandra - 2008

This paper investigates the impact of seventeen US macroeconomic announcements on two broad and representative commodity futures indices. Based on a large sample from 1989 to 2005, we show that the daily price response of the CRB and GSCI commodity futures indices to macroeconomic news is...

Persistent link: https://www.econbiz.de/10010302532