• 1 Introduction
  • 2 The impact of information arrival on prices
  • 2.1 T-Bond futures price changes and surprises
  • 2.2 The content of macroeconomic reports
  • 2.3 Determinants of the relative impact of releases
  • 3 Empirical results
  • 3.1 Data
  • 3.2 Estimation of the impact of surprises on price changes
  • 3.3 Tests of hypotheses
  • 4 Summary and conclusions