Menkveld, Albert J.; Sarkar, Asani; Wel, Michel van der - In: Journal of Financial and Quantitative Analysis 47 (2012) 04, pp. 821-849
Macro announcements change the equilibrium risk-free rate. We find that Treasury prices reflect part of the impact instantaneously, but intermediaries rely on their customer order flow after the announcement to discover the full impact. This customer flow informativeness is strongest when...