Green is from Goizueta Business School, Emory University. This article is based on a chapter of my dissertation at New York University, and an earlier version is titled “News Releases, Private Information, and Intraday Price Movements in the U.S. Treasury Market.” I appreciate the comments of Rick Green (the editor) and two anonymous referees. I also benefited from the suggestions of Edwin Elton (my dissertation chairman), Hank Bessembinder, Stephen Figlewski, Michael Fleming, Kenneth Garbade, Martin Gruber, Joel Hasbrouck, Anthony Lynch, and Matthew Richardson and seminar participants at the 1999 Western Finance Association meetings, Arizona State, Boston College, Columbia, Cornell, Dartmouth, Emory, University of Georgia, Indiana University, Lehman Brothers, University of Maryland, New York University, Notre Dame, Penn State, University of Pittsburgh, and University of Virginia. I wish to acknowledge Nasdaq for providing financial assistance and GovPX, Inc. for providing the data. Any errors are my own.
Economic News and the Impact of Trading on Bond Prices
Version of Record online: 27 NOV 2005
© 2004 the American Finance Association
The Journal of Finance
Volume 59, Issue 3, pages 1201–1233, June 2004
How to Cite
Green, T. C. (2004), Economic News and the Impact of Trading on Bond Prices. The Journal of Finance, 59: 1201–1233. doi: 10.1111/j.1540-6261.2004.00660.x
- Issue online: 27 NOV 2005
- Version of Record online: 27 NOV 2005
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