Demand for Information, Uncertainty, and the Response of U.S. Treasury Securities to News
利用点击流数据发现，投资者对影响未来利率路径的宏观经济因素的信息需求，反映了其不确定性，且能预测国债收益率对经济公告的反应强度。
Abstract We use clickstream data to show that investors’ demand for information about macroeconomic factors affecting the path of future interest rates is a measure of their uncertainty about this path. In particular, an increase in information demand ahead of influential economic announcements affecting investors’ beliefs about future interest rates predicts a stronger reaction of U.S. Treasury note yields to these announcements, as it should if information demand positively covaries with uncertainty. This relationship does not vanish after using standard measures of uncertainty as predictors, suggesting that clickstream data contain unique information about investors’ uncertainty.