| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w5446 |
| 来源ID | Working Paper 5446 |
| Public Information and the Persistence of Bond Market Volatility | |
| Charles M. Jones; Owen Lamont; Robin Lumsdaine | |
| 发表日期 | 1996 |
| 出版年 | 1996 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w5446 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/562904 |
| 推荐引用方式 GB/T 7714 | Charles M. Jones,Owen Lamont,Robin Lumsdaine. Public Information and the Persistence of Bond Market Volatility. 1996. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w5446.pdf（346KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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