In this study we analyze the reaction of daily cash and futures prices for several Treasury securities to the release of U.S. macroeconomic news. Some important results are reported. First, consistent with the notion of market integration, the futures market is found to be cointegrated with the...

This study examines the relationship between returns on portfolios, comprised of stocks of various size and book values, and changes in inflation. The relationship is evaluated in the context of positive and negative changes in expected and unexpected inflation, and expansionary and...

This paper shows that the University of MichiganÕs ÒSurvey of ConsumersÓ can be useful in predicting the direction of change in Þve U.S. dollar exchange rates. The explanatory power, however, is contingent on the particular survey question employed and the forecast horizon under...

This paper examines how investors assimilate information obtained from a set of German and U.S. macroeconomic news releases, and register their response on German closed-end fund net asset values (NAVs) and share prices. Specifically, three German Funds traded in the NYSE are chosen and their...