The Effect of Macroeconomic News on Beliefs and Preferences : Evidence from the Options Market

  • Alessandro Beber Michael W. Brandt
  • Published 2001

Abstract

We examine the effect of regularly scheduled macroeconomic announcements on the beliefs and preferences of participants in the U.S. Treasury market by comparing the option-implied state-price density (SPD) of bond prices shortly before and after the announcements. We find that the announcements reduce the uncertainty implicit in the second moment of the SPD… (More)

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