References

• 2005The Sensitivity of Long-Term Interest Rates to Economic News: Evidence and Implications for Macroeconomic Models1,004 cited
• 2013How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements410 cited
• 2010Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices406 cited
• 1998Macroeconomic news and bond market volatility1We thank Walter Toshi Baily, Bob Korajczyk, Jim Poterba, Mark Watson, seminar participants at the University of Chicago, Columbia University, Cornell University, and the University of Montreal, and especially Ludger Hentschel (the referee) for helpful comments. We also thank Mark Mitchell for supplying data, and Amy C. Ko and Sydney Ludvigson for research assistance. Lamont was supported by the FMC Faculty Research Fund at the Graduate School of Business, University of Chicago. A portion of this research was completed while Lumsdaine was a National Fellow at the Hoover Institution. We also thank the Financial Research Center at Princeton University for support. A previous version of this paper circulated as `Public Information and the Persistence of Bond Market Volatility'.1342 cited
• 2012U.S. Presidential Elections and Implied Volatility: The Role of Political Uncertainty267 cited
• 2019Cryptocurrency reaction to FOMC Announcements: Evidence of heterogeneity based on blockchain stack position217 cited
• 2011The effect of macroeconomic news on stock returns: New evidence from newspaper coverage213 cited
• 2000Do macroeconomics news releases affect gold and silver prices?171 cited
• 2019The impact of Baidu Index sentiment on the volatility of China's stock markets145 cited
• 2008The reaction of asset prices to macroeconomic announcements in new EU markets: Evidence from intraday data