The Empirical Information Sensitivity of Treasury Bonds and Stocks

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: 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