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1、JournalofFinancialEconomics47(1998)315Ð337Macroeconomicnewsandbondmarketvolatility1CharlesM.Jones!,OwenLamont",*,RobinL.Lumsdaine#!GraduateSchoolofBusiness,ColumbiaUniversity,NewYork,NY10027,USA"GraduateSchoolofBusiness,UniversityofChicago,Chicago,IL60637,USA#DepartmentofEconomics,BrownUniv
2、ersity,Providence,RI02912,USAReceived8November1996;receivedinrevisedform28May1997AbstractWeexaminethereactionofdailyTreasurybondpricestothereleaseofU.S.macroeco-nomicnews.Thesenewsreleases(ofemploymentandproducerpriceindexdata)areofinterestbecausetheyarereleasedonperiodic,preannounceddatesa
3、ndbecausetheyareassociatedwithsubstantialbondmarketvolatility.Weinvestigatewhetherthesenonautocorrelatedannouncementsgiverisetoautocorrelatedvolatility.WeÞndthatannouncement-dayvolatilitydoesnotpersistatall,consistentwiththeimmediateincorporationofinformationintoprices.WealsoÞndariskpremium
4、onthesereleasedates.(1998ElsevierScienceS.A.Allrightsreserved.JELclassiÞcation:C32;G12Keywords:Volatility;Information;News;GARCH;Risk*Correspondingauthor.Tel.:773/702-6414;fax:773/702-0458;e-mail:owen.lamont@gsb.uchicago.edu.1WethankWalterToshiBaily,BobKorajczyk,JimPoterba,MarkWatson,semina
5、rparticipantsattheUniversityofChicago,ColumbiaUniversity,CornellUniversity,andtheUniversityofMontreal,andespeciallyLudgerHentschel(thereferee)forhelpfulcomments.WealsothankMarkMitchellforsupplyingdata,andAmyC.KoandSydneyLudvigsonforresearchassistance.LamontwassupportedbytheFMCFacultyResearc
6、hFundattheGraduateSchoolofBusiness,UniversityofChicago.AportionofthisresearchwascompletedwhileLumsdainewasaNationalFellowattheHooverInstitution.WealsothanktheFinancialResearchCenteratPrincetonUniversityforsupport.ApreviousversionofthispapercirculatedasÔPublicInformationandthePersistenceofBo
7、ndMarketVolatilityÕ.0304-405X/98/$19.00(1998ElsevierScienceS.A.Allrightsreserved.PIIS0304-405X(97)00047-0316C.M.Jonesetal./JournalofFinancialEconomics47(1998)315Ð3371.IntroductionAssetpricesarevolatile,andthisvolatilityispredictableovertime.Assetreturnsa
