Macroeconomic news announcements and market efficiency: Evidence from the U.S. Treasury market

We investigate the impact of scheduled macroeconomic news announcements on the U.S. Treasury market's efficiency. Using intraday data and controlling for microstructure noise, we employ a robust method to construct market inefficiency measures. We find that the U.S. Treasury market is less efficient in the five-minute interval before news arrival. Our findings are robust for different sample periods, macroeconomic news announcements, and market inefficiency measures. We find that investor heterogeneity provides a possible explanation for the decreased market efficiency before scheduled news announcements.