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We study the role played by private and public information in the process of price formation in the U.S. Treasury bond market. To guide our analysis, we develop a parsimonious model of speculative trading in the presence of two realistic market frictions -information heterogeneity and imperfect competition among informed traders -and a public signal. We test its equilibrium implications by analyzing the response of two-year, five-year, and ten-year U.S. bond yields to order flow and real-timedoi:10.2139/ssrn.953022 fatcat:o5nm6d5rjva3tkg6bkh44cs5sa