Customer flow, intermediaries, and the discovery of the equilibrium riskfree rate

Research, Preprint English OPEN
Menkveld, Albert J.; Sarkar, Asani; van der Wel, Michel;
(2008)
  • Publisher: Goethe University, Center for Financial Studies (CFS) Frankfurt a. M.
  • Subject: USA | E44 | Börsenkurs | Treasury Futures | Wertpapierhandel | G14 | Customer Flow | Intermediary | Riskfree Rate | Öffentliche Anleihe | Riskfree Rate,Macroeconomic Announcements,Customer Flow,Intermediary,Treasury Futures | Informationsverhalten | Ankündigungseffekt | Macroeconomic Announcements | Makroökonomischer Einfluss
    • jel: jel:E44 | jel:G14
      ddc: ddc:330

Macro announcements change the equilibrium riskfree rate. We find that treasury prices reflect part of the impact instantaneously, but intermediaries rely on their customer order flow in the 15 minutes after the announcement to discover the full impact. We show that thi... View more
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