The arrival of public information in the US Treasury market sets off a two‐stage adjustment
process for prices, trading volume, and bid‐ask spreads. In a brief first stage, the release of a …

In an examination of the US Treasury securities market, the authors attempt to explain the
sharpest price changes and most active trading episodes. They find that each of the twenty-five …

… Eli M Remolona … 4 See Amato and Remolona (2003) for a more detailed analysis of the
issues examined … See Amato and Remolona (2003) for a more complete review of the literature. …

Credit rating agencies make multiple announcements, some of which are intended to reflect
the latest information available about a firm and others of which are intended to provide a …

We analyse high-frequency responses of the US yield curve to macroeconomic
announcements, exploiting the high signal-to-noise ratios of these events. Surprises in the …

We analyse carry trades involving the Australian dollar, Indonesian rupiah, Indian rupee, New
Zealand dollar and Philippine peso as target currencies. We find evidence supporting the …

… Eli M Remolona … For BBB/Baa-rated corporate bonds, Amato and Remolona (2003)
suggest that default correlations account for about three quarters of the risk premium and …

With the increased popularity of mutual funds come increased concerns. Namely, could a
sharp drop in stock and bond prices set off a cascade of redemptions by mutual fund investors …

… More recently, Fleming and Remolona [1997a] analyze intraday cash market Treasury
securities data and find that eight out of nineteen announcements have a significant price impact. …

We propose a new approach to measuring sovereign default risk. We use sovereign credit
ratings and historical default rates provided by credit rating agencies to construct a measure …