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

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  • Elmendorf, Douglas W
  • Hirschfeld, Mary L
  • Weil, David N

Abstract

The authors study the relationship of news to bond prices. They select a set of major news events based solely on their significance as judged by historians and examine the corresponding bond price movements. The variance of holding returns is higher for weeks with important news than for weeks without such news, and the probability of a very large return (in absolute value) is higher for 'news' weeks than for 'non-news' weeks. The magnitude of these differences, however, suggests that much of the variability in bond prices cannot be explained by news, though important caveats about the authors' measurement of news apply. Copyright 1996 by MIT Press.

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  • Elmendorf, Douglas W & Hirschfeld, Mary L & Weil, David N, 1996. "The Effect of News on Bond Prices: Evidence from the United Kingdom, 1900-1920," The Review of Economics and Statistics, MIT Press, vol. 78(2), pages 341-344, May.
    • Handle: RePEc:tpr:restat:v:78:y:1996:i:2:p:341-44
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    Cited by:

    1. Hanna, Alan J. & Turner, John D. & Walker, Clive B., 2017. "News media and investor sentiment over the long run," QUCEH Working Paper Series 2017-06, Queen's University Belfast, Queen's University Centre for Economic History.
    2. Amelie Brune & Thorsten Hens & Marc Rieger & Mei Wang, 2015. "The war puzzle: contradictory effects of international conflicts on stock markets," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 62(1), pages 1-21, March.
    3. David le Bris, 2018. "What is a market crash?," Economic History Review, Economic History Society, vol. 71(2), pages 480-505, May.
    4. Campbell, Gareth & Quinn, William & Turner, John D. & Ye, Qing, 2015. "What moved share prices in the nineteenth-century London stock market?," QUCEH Working Paper Series 15-06, Queen's University Belfast, Queen's University Centre for Economic History.
    5. Gareth Campbell & William Quinn & John D. Turner & Qing Ye, 2018. "What moved share prices in the nineteenth†century London stock market?," Economic History Review, Economic History Society, vol. 71(1), pages 157-189, February.

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