Now showing items 1-1 of 1

  • Macro News, Riskfree Rates, and the Intermediary 

    Menkveld, Albert J.; Sarkar, Asani; Wel, Michel van der (Amsterdam : Tinbergen Institute, 2007-11-06)
    Signed customer order flow correlates with permanent price changes in equity and nonequity markets. We exploit macro news events in the 30Y treasury futures market to identify causality from customer flow to riskfree rates. ...