Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-Free Rate
研究发现宏观公告后国债价格瞬时反映部分影响，但中介机构依赖客户订单流来发现均衡无风险利率的完整影响，且客户流信息在分析师预测分歧最大时最强。
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.