o what extent can movements in the financial markets be attributed to the arrival of new information? In a landmark 1989 study of the stock market, David Cutler, James Poterba, and Lawrence Summers found that it was surprisingly difficult to identify information that could account for the largest price movements. No similar effort has been made, however, to explain the largest price movements in the bond market, although both theory and a large literature on announcement effects suggest that

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... results for this market should be more promising. In this article, we take a close look at a single year in the U.S. Treasury securities market (which we refer to as the bond market) and attempt to identify information that may account for the sharpest price changes and the most active trading episodes. Sharp price moves may be attributed to changes in expectations shared by investors, and surges in trading activity to a lack of consensus on prices. 1 To explain the price changes and trading surges, we examine how closely these events correlate with the release times of macroeconomic announcements. We also investigate whether the bond market's behavior is related to factors affecting the informational value of the announcements-specifically, the type of announcement and the magnitude of the surprise in the data released. While other studies have examined announcement effects in the bond market, our use of high-frequency market data and precise announcement release times allows us to identify such effects more precisely than most earlier studies. In addition, our analysis of the role of uncertainty in assessing the impact of macroeconomic announcements goes beyond the scope of earlier bond market studies. To represent the bond market in our analysis, we focus on the five-year U.S. Treasury note, one of the most actively traded U.S. Treasury securities.