We examine the reaction of daily Treasury bond prices to the releaseoof U.S. government macroeconomic news. These news releases (of employment and Producer Price Index data) are of interest because they are released on periodic, preannounced dates and because they cause substantial bond market volatility. We investigate whether these non-autocorrelated announcements give rise to autocorrelated volatility. We find that announcement-day volatility does not persist at all, consistent with a simple efficient markets model in which information is incorporated immediately into prices. We also find a large risk premium on these release dates. In contrast, excess returns over Treasury bills are zero on non-announcement dates in our 1979-1993 sample.
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