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.

中文翻译：

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宏观经济新闻公告和市场效率：来自美国国债市场的证据

我们调查了预定的宏观经济新闻公告对美国国债市场效率的影响。使用日内数据并控制微观结构噪声，我们采用了一种稳健的方法来构建市场低效率度量。我们发现美国国债市场在消息到达前的 5 分钟间隔内效率较低。我们的研究结果对于不同的样本期、宏观经济新闻公告和市场低效率指标都是稳健的。我们发现投资者异质性为预定新闻公告前市场效率下降提供了可能的解释。