Demand for Information, Uncertainty, and the Response of U.S. Treasury Securities to News

Optimal inattention to the stock market

Hedi Benamar, Thierry Foucault and Clara Vega

The Review of Financial Studies, 2021, vol. 34, issue 7, 3403-3455

Abstract: We use clickstream data to show that investors’ demand for information about macroeconomic factors affecting the path of future interest rates is a measure of their uncertainty about this path. In particular, an increase in information demand ahead of influential economic announcements affecting investors’ beliefs about future interest rates predicts a stronger reaction of U.S. Treasury note yields to these announcements, as it should if information demand positively covaries with uncertainty. This relationship does not vanish after using standard measures of uncertainty as predictors, suggesting that clickstream data contain unique information about investors’ uncertainty.

JEL-codes: D83 G12 G14 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (5)

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