@article {Fleming:October 1999:0022-1082:1901,
	author = "Fleming, Michael J.",
	author = "Remolona, Eli M.",
	title = "Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information",
	journal = "The Journal of Finance",
	volume = "54",
	year = "October 1999",
	abstract = "The arrival of public information in the U.S. Treasury market sets off a two-stage adjustment process for prices, trading volume, and bid-ask spreads. In a brief first stage, the release of a major macroeconomic announcement induces a sharp and nearly instantaneous price change with a reduction in trading volume, demonstrating that price reactions to public information do not require trading. The spread widens dramatically at announcement, evidently driven by inventory control concerns. In a prolonged second stage, trading volume surges, price volatility persists, and spreads remain moderately wide as investors trade to reconcile residual differences in their private views.",
	pages = "1901-1915(15)",
	url = "http://www.ingentaconnect.com/content/bpl/jofi/1999/00000054/00000005/art00012"
	doi = "doi:10.1111/0022-1082.00172"
}