TY  - JOUR
AU  - Jones,Charles M.
AU  - Lamont,Owen
AU  - Lumsdaine,Robin
TI  - Public Information and the Persistence of Bond Market Volatility
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 5446
PY  - 1996
Y2  - January 1996
UR  - http://www.nber.org/papers/w5446
L1  - http://www.nber.org/papers/w5446.pdf
N1  - Author contact info:
Charles M. Jones
Columbia University
Uris Hall, Room 801
New York, NY  10027
Tel: 212 854 4109
E-Mail: cj88@columbia.edu

Owen Lamont
Department of Economics
Harvard University
Cambridge MA 02138
E-Mail: owen.lamont@yale.edu

Robin L. Lumsdaine
Kogod School of Business
American University
4400 Massachusetts Avenue NW
Washington, DC 20016
Tel: 202/885-1964
E-Mail: robin.lumsdaine@american.edu
AB  - 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.
ER  -