The Effect of News on Bond Prices: Evidence from the United Kingdom 1900-1920

34 Pages Posted: 1 Aug 2007 Last revised: 29 Jul 2010

See all articles by Douglas W. Elmendorf

Douglas W. Elmendorf

Harvard Kennedy School

David N. Weil

Brown University - Department of Economics; National Bureau of Economic Research (NBER)

Mary L hirschfeld

Occidental College

Date Written: December 1992

Abstract

We study the relationship of non-quantitative news to bond prices. We select a set of major news events based solely on their significance as judged by historians, and examine the corresponding bond price movements. We find strong evidence that news has some influence on bond price movements, but we find no evidence that news can explain more than a small fraction of those movements.

Suggested Citation

Elmendorf, Douglas W. and Weil, David Nathan and hirschfeld, Mary L, The Effect of News on Bond Prices: Evidence from the United Kingdom 1900-1920 (December 1992). NBER Working Paper No. w4234. Available at SSRN: https://ssrn.com/abstract=478698

Douglas W. Elmendorf (Contact Author)

Harvard Kennedy School ( email )

79 John F. Kennedy Street
Cambridge, MA 02138
United States

David Nathan Weil

Brown University - Department of Economics ( email )

Box B
Providence, RI 02912
United States
401-863-1754 (Phone)
401-863-1970 (Fax)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Mary L Hirschfeld

Occidental College

1600 Campus Rd
Los Angeles, CA 90041

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