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Information Aggregation, Inflation, and the Pricing of Indexed Bonds

1985; University of Chicago Press; Volume: 93; Issue: 1 Linguagem: Inglês

10.1086/261289

1537-534X

Gur Huberman, G. William Schwert,

Fiscal Policies and Political Economy

Previous articleNext article No AccessInformation Aggregation, Inflation, and the Pricing of Indexed BondsGur Huberman, and G. William SchwertGur Huberman, and G. William SchwertPDFPDF PLUS Add to favoritesDownload CitationTrack CitationsPermissionsReprints Share onFacebookTwitterLinkedInRedditEmail SectionsMoreDetailsFiguresReferencesCited by Journal of Political Economy Volume 93, Number 1Feb., 1985 Article DOIhttps://doi.org/10.1086/261289 Views: 6Total views on this site Citations: 39Citations are reported from Crossref Copyright 1985 The University of ChicagoPDF download Crossref reports the following articles citing this article:Zhen-Xing Wu, Yin-Feng Gau Informativeness of trades around macroeconomic announcements in the foreign exchange market, Journal of International Financial Markets, Institutions and Money 78 (May 2022): 101533.https://doi.org/10.1016/j.intfin.2022.101533Paul Borochin, Murat Alp Celik, Xu Tian, Toni M. Whited Identifying the Heterogeneous Impact of Highly Anticipated Events: Evidence from the Tax Cuts and Jobs Act, SSRN Electronic Journal 48 (Jan 2021).https://doi.org/10.2139/ssrn.3806560Nicolas Hardy, Nicolas S. Magner, Jaime Lavin, Rodrigo A. Cardenas, Mauricio Jara-Bertin Small consequences of a major agreement: the MILA case, Academia Revista Latinoamericana de Administración 31, no.33 (Aug 2018): 486–518.https://doi.org/10.1108/ARLA-12-2017-0357Yin-Feng Gau, Zhen-Xing Wu Macroeconomic announcements and price discovery in the foreign exchange market, Journal of International Money and Finance 79 (Dec 2017): 232–254.https://doi.org/10.1016/j.jimonfin.2017.08.006Emilio Barucci, Claudio Fontana Information and Financial Markets, (Jun 2017): 397–477.https://doi.org/10.1007/978-1-4471-7322-9_8Eva R. Porras Bubbles, (Jan 2016): 201–235.https://doi.org/10.1057/9781137358769_7Yin-Feng Gau, Zhen-Xing Wu Macroeconomic Announcements and Price Discovery in the Foreign Exchange Market, SSRN Electronic Journal (Jan 2015).https://doi.org/10.2139/ssrn.2565379Thomas Gilbert, Shimon Kogan, Lars Lochstoer, Ataman Ozyildirim Investor Inattention and the Market Impact of Summary Statistics, Management Science 58, no.22 (Feb 2012): 336–350.https://doi.org/10.1287/mnsc.1110.1475Quentin C. Chu, Deborah N. Pittman, Linda Q. Yu When Do TIPS Prices Adjust to Inflation Information?, Financial Analysts Journal 67, no.22 (Dec 2018): 59–73.https://doi.org/10.2469/faj.v67.n2.4Nikolay Kosturov, Duane Stock The Sensitivity of Corporate Bond Volatility to Macroeconomic Announcements, (Jan 2010): 883–913.https://doi.org/10.1007/978-0-387-77117-5_58James E. Gunderson Private Values and Publicly Traded Securities, SSRN Electronic Journal (Jan 2010).https://doi.org/10.2139/ssrn.1573295Quentin C. Chu, Deborah N. Pittman, Jeng-Hong Chen Inflation or disinflation? Evidence from maturing US Treasury Inflation-Protected Securities, Applied Economics 39, no.33 (Feb 2007): 361–372.https://doi.org/10.1080/00036840500438939James E. Gunderson Information-Aggregation Bias in Representative Agent Pricing Models, SSRN Electronic Journal (Jan 2007).https://doi.org/10.2139/ssrn.1018714Tim Adam, Chitru S. Fernando, Jesus M. Salas Why Do Firms Speculate? Evidence from the Gold Mining Industry, SSRN Electronic Journal (Jan 2007).https://doi.org/10.2139/ssrn.968297Michael J. Brennan, Yihong Xia tay's as good as cay, Finance Research Letters 2, no.11 (Mar 2005): 1–14.https://doi.org/10.1016/j.frl.2004.10.001 References, (Apr 2013): 301–313.https://doi.org/10.1002/9781118673317.refsQuentin C Chu, Deborah N Pittman, Linda Q Yu Information Content of Maturing TIIS, The Journal of Fixed Income 13, no.44 (Mar 2004): 90–99.https://doi.org/10.3905/jfi.2004.391031Tzachi Zach Political Events and the Stock Market: Evidence from Israel, SSRN Electronic Journal (Jan 2003).https://doi.org/10.2139/ssrn.420242Michael Kahn, Shmuel Kandel, Oded Sarig Real and nominal effects of central bank monetary policy, Journal of Monetary Economics 49, no.88 (Nov 2002): 1493–1519.https://doi.org/10.1016/S0304-3932(02)00179-4Malek Lashgari Information content of U.S. treasury inflation-indexed bonds, International Advances in Economic Research 6, no.33 (Aug 2000): 520–530.https://doi.org/10.1007/BF02294969Utpal Bhattacharya, Hazem Daouk, Brian Jorgenson, Carl-Heinrich Kehr When an Event is Not an Event: The Curious Case of an Emerging Market, SSRN Electronic Journal (Jan 1999).https://doi.org/10.2139/ssrn.146734Charles M. Jones, Owen Lamont, Robin L. Lumsdaine Macroeconomic news and bond market volatility1We thank Walter Toshi Baily, Bob Korajczyk, Jim Poterba, Mark Watson, seminar participants at the University of Chicago, Columbia University, Cornell University, and the University of Montreal, and especially Ludger Hentschel (the referee) for helpful comments. We also thank Mark Mitchell for supplying data, and Amy C. Ko and Sydney Ludvigson for research assistance. Lamont was supported by the FMC Faculty Research Fund at the Graduate School of Business, University of Chicago. A portion of this research was completed while Lumsdaine was a National Fellow at the Hoover Institution. We also thank the Financial Research Center at Princeton University for support. 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