The Effect of News on Bond Prices: Evidence from the United Kingdom, 1900-1920

Douglas Elmendorf, Mary L Hirschfeld and David Weil

The Review of Economics and Statistics, 1996, vol. 78, issue 2, 341-44

Abstract: The authors study the relationship of news to bond prices. They select a set of major news events based solely on their significance as judged by historians and examine the corresponding bond price movements. The variance of holding returns is higher for weeks with important news than for weeks without such news, and the probability of a very large return (in absolute value) is higher for 'news' weeks than for 'non-news' weeks. The magnitude of these differences, however, suggests that much of the variability in bond prices cannot be explained by news, though important caveats about the authors' measurement of news apply. Copyright 1996 by MIT Press.

Date: 1996
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Working Paper: The Effect of News on Bond Prices: Evidence from the United Kingdom 1900-1920 (1992)
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