HEC Research Papers Series,
HEC Paris

Abstract: We measure demand for information prior to nonfarm payroll announcements using a novel dataset consisting of clicks on news articles. We find that when information demand is high shortly before the release of the nonfarm payroll announcement, the price response of U.S. Treasury note futures to nonfarm payroll news surprises doubles. We argue that this relationship stems from the fact that market participants have more incentive to collect information when uncertainty about asset payoffs is higher, as implied by Bayesian learning models. Thus, high information demand about macroeconomic news is a proxy for high macroeconomic uncertainty.

Keywords: Public information; Macroeconomic News; Uncertainty; U.S. Treasury futures; Investors Attention; Information Demand; Bitly; Media Coverage

JEL-codes: D83; G12; G14

59 pages, First version: April 13, 2018. Revised: May 3, 2018.

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