The Empirical Information Sensitivity of Treasury Bonds and Stocks

64 Pages Posted: 26 Jul 2021 Last revised: 12 Jan 2022

See all articles by Tri Vi Dang

Tri Vi Dang

Columbia University - Department of Economics

Wei Li

School of Economics, Faculty of Economics and Management, East China Normal University

Yongqin Wang

Fudan University

Date Written: July 1, 2021

Abstract

This paper generalizes the information sensitivity theory to markets where investors sell securities before maturity and proposes an empirical measure. Two applications are provided. This paper shows that long term Treasury bonds with safe payments and no credit risks are as information sensitive as the S&P500 index. This paper derives an information sensitivity channel of government asset purchases and documents that stock purchases by the Chinese National Team during the stock market crash in 2015 reduce the information sensitivity of intervened stocks by 16% compared to other stocks. When stocks become less information sensitive financial analysts produce less information.

Keywords: Government asset purchases; information production; information sensitivity; , stock market intervention, Treasury bonds

JEL Classification: G1, G2

Suggested Citation

Dang, Tri Vi and Li, Wei and Wang, Yongqin, The Empirical Information Sensitivity of Treasury Bonds and Stocks (July 1, 2021). Available at SSRN: https://ssrn.com/abstract=3892142 or http://dx.doi.org/10.2139/ssrn.3892142

Tri Vi Dang (Contact Author)

Columbia University - Department of Economics ( email )

420 West 118th Street
New York, NY 10027
United States

Wei Li

School of Economics, Faculty of Economics and Management, East China Normal University ( email )

3663 North Zhongshan Road
Shanghai, Shanghai 200062
China

Yongqin Wang

Fudan University ( email )

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