We investigate the mechanism by which price discovery takes place within the futures market for U.S Treasury securities. Specifically, given the strong theoretical linkage between the U.S. Treasury cash and futures markets, we compare how orderflow contributes to price discovery as well as...

There is a generalized conviction that variation in dividend yields is exclusively related to expected returns and not to expected dividend growth - e.g. Cochrane's presidential address (Cochrane (2011)). We show that this pattern, although valid for the aggregate stock market, is not true for...