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Public Information and the Persistence of Bond Market Volatility

  • Charles M. Jones
  • Owen Lamont
  • Robin Lumsdaine

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 positively autocorrelated on these dates, since the news is released at a specific moment in time. We find that (1) expected returns on the short end of the bond market are significantly higher on these announcement dates, and (2) the persistence pattern of daily volatility is quite different around these days.

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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 5446.

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Date of creation: Jan 1996
Date of revision:
Publication status: published as Journal of Financial Economics, Vol. 47, no. 3 (March 1998): 315-337.
Handle: RePEc:nbr:nberwo:5446
Note: AP
Contact details of provider: Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.
Phone: 617-868-3900
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