Economic Risk Premia in the Fixed-Income Markets: The Intraday Evidence
利用高频数据估计债券价格对宏观经济公告的反应及相应的宏观风险补偿，发现公告前存在显著的风险溢价，但金融危机后该溢价消失，与信息泄露和长期风险模型一致。
We use high-frequency data to precisely estimate bond price reactions to macroeconomic announcements and the associated compensation for macro risks. We find evidence of a single factor summarizing the reaction of bond prices to different announcements. Before the financial crisis, the factor risk premium is substantial, significant, and mainly earned before announcement releases. After the crisis, the stock–bond covariance becomes negative and the preannouncement factor risk premium becomes insignificant. Our empirical results are consistent with information leakages that take place ahead of announcement releases and with the implications of a long-run risks model of bond risk premia.