Brandt, Michael W. (contributor); … - 2002 - [Elektronische Ressource]
event studies
that the yield curve responds to macroeconomic announcements (e.g., Balduzzi, Elton, and
Green, 1997; Fleming …. Because
we know the initiator of the trade explicitly, this is a clean calculation, in contrast to equity
market studies where … seasonedness but the same maturity are substitutes. Empirical studies on dually traded
stocks as well as on spot and futures …