Empirical analysis reveals that pre-announcement information demand predicts Treasury yield sensitivity in financial markets, indicating clickstream data captures unique investor uncertainty.
We use clickstream data to show that investors’ demand for information about macroeconomic factors affecting the path of future interest rates is a measure of their uncertainty about this path. In particular, an increase in information demand ahead of influential economic announcements affecting investors’ beliefs about future interest rates predicts a stronger reaction of U.S. Treasury note yields to these announcements, as it should if information demand positively covaries with uncertainty. This relationship does not vanish after using standard measures of uncertainty as predictors, suggesting that clickstream data contain unique information about investors’ uncertainty.
No takes yet. Share an insight, caveat, or question.
Benamar et al. (2020) studied this question.
Synapse has enriched 4 closely related papers on similar clinical questions. Consider them for comparative context: