search query: @author Chaudhry, M. / total: 3
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| Author: | Christie-David, R. Chaudhry, M. Lindley, J.T. |
| Title: | The effects of unanticipated macroeconomic news on debt markets |
| Journal: | Journal of Financial Research
2003 : FALL, VOL. 26:3, p. 319-339 |
| Index terms: | Debt Interest rates Macroeconomics |
| Freeterms: | News |
| Language: | eng |
| Abstract: | The effects of unanticipated macroeconomic news on two interest rates futures are examined by using intraday data. The surprises are identified on the basis of their potential effects on debt markets (positive or negative) and by their size (large, medium or small). The results indicate distinct ex-post return patterns associated with different categories of news surprises. |
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