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    This article has been cited by the following publications. This list is generated based on data provided by CrossRef.

    Balduzzi, Pierluigi and Moneta, Fabio 2016. Handbook of Fixed-Income Securities.


    Jiang, George J. and Lo, Ingrid 2014. Private information flow and price discovery in the U.S. treasury market. Journal of Banking & Finance, Vol. 47, p. 118.


    Opschoor, Anne Taylor, Nick van der Wel, Michel and van Dijk, Dick 2014. Order flow and volatility: An empirical investigation. Journal of Empirical Finance, Vol. 28, p. 185.


    Chen, Linda H. Jiang, George J. and Wang, Qin 2013. Market Reaction to Information Shocks-Does the Bloomberg and Briefing.com Survey Matter?. Journal of Futures Markets, Vol. 33, Issue. 10, p. 939.


    Valseth, Siri 2013. Price discovery in government bond markets. Journal of Financial Markets, Vol. 16, Issue. 1, p. 127.


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  • Journal of Financial and Quantitative Analysis, Volume 47, Issue 4
  • August 2012, pp. 821-849

Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-Free Rate

Abstract
Abstract

Macro announcements change the equilibrium risk-free rate. We find that Treasury prices reflect part of the impact instantaneously, but intermediaries rely on their customer order flow after the announcement to discover the full impact. This customer flow informativeness is strongest when analyst macro forecasts are most dispersed. The result holds for 30-year Treasury futures trading in both electronic and open-outcry markets. We further show that intermediaries benefit from privately recognizing informed customer flow, as their own-account trading profitability correlates with customer order access.

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Journal of Financial and Quantitative Analysis
  • ISSN: 0022-1090
  • EISSN: 1756-6916
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