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

Douglas Elmendorf, Mary Hirshfeld and David Weil

No 4234, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We study the relationship of non-quantitative news to bond prices. We select a set of major news events based solely on their significance as judged by historians, and examine the corresponding bond price movements. We find strong evidence that news has some influence on bond price movements, but we find no evidence that news can explain more than a small fraction of those movements.

Date: 1992-12
Note: AP
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Published as Review of Economics and Statistics, June 1996, pp.341-344

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Journal Article: The Effect of News on Bond Prices: Evidence from the United Kingdom, 1900-1920 (1996)
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