Stats › Intraday et microstructure de marché › Treasury by maturity
The Treasury announcement-day premium rises with maturity and turns negative at the short end
Difference in basis points between mean announcement-day and mean non-announcement-day returns, CRSP daily data 1961 to 2009. Announcements are scheduled CPI and PPI releases, employment reports and scheduled FOMC decisions. Unscheduled FOMC announcements are excluded. These are differences in means, not raw returns.
On scheduled macro announcement days from 1961 to 2009, Treasury returns ran 4.5 basis points above normal at thirty years, 3.4 at ten and minus 0.5 at one year. The thirty day bill ran 0.7 basis points below, with a t statistic of minus 14.49.
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