The Review of Economics and Statistics Vol. 78 No. 2 1996

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

Douglas W. Elmendorf¹; Mary L. Hirschfeld²; David Weil^3,4

¹ Harvard Kennedy School · ² Occidental College · ³ National Bureau of Economic Research · ⁴ John Brown University

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.

DOI

10.2307/2109937

Volume

78

Issue

2

Pages

341

Sources

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