How Markets Process Information:News Releases and Volatility 1163 Patell and Wolfson (1984)in equity markets.They find that following divi- dend and earnings announcements,it takes five to ten minutes for trading profits in individual equities to disappear and that volatility may remain high even into the next day.Given our results,it appears that traders with immediate access to the market quickly form a basically unbiased estimate of the release's implications for market prices and that the price adjusts to this level almost immediately.Prices continue to adjust as details become avail- able and as these and other traders reassess the news and its implications for prices.However,these subsequent adjustments are generally independent of the initial price change. In the next section we explain our choices of news releases and markets;we also describe the news release procedures.In Section II,we examine the implications of these releases for intraday and day-of-the-week volatility.In Section III we turn to the question of the relative importance of these announcements.The efficiency of the markets in adjusting to this information is explored in Section IV and our results are summarized in Section V. I.News Releases and Market Structure We explore the impact on interest rate and foreign exchange futures prices of the nineteen macroeconomic news releases listed in the Appendix.These are the nineteen monthly announcements whose upcoming release is regularly covered in "The Week Ahead"section of Business Week.2 Their release could affect interest and exchange rates either because they are viewed as sig- nalling a likely change in the demand for credit or foreign exchange or because market participants believe these are important variables which the Federal Reserve considers in setting monetary policy.We examine only monthly announcements.Weekly news releases such as the money supply figures and Treasury bill auction results are excluded because(since they are always announced on the same day)their impact would be difficult to distinguish from day-of-the-week effects.Also,most (e.g.,the money supply) are announced after the markets close.Because the number of data points is inadequate for individual analysis,purely quarterly announcements are excluded.While the GNP is a quarterly statistic,advance,preliminary,and final estimates are announced in successive months,so we include it in our set. We examine the impact of these announcements on the T-bond,Eurodollar, and deutsche mark futures markets.The T-bond contract is traded on the Chicago Board of Trade (CBOT).The other two are traded on the Interna- 2A few other upcoming monthly announcements are occasionally reported in this column but not on a consistent basis.Consensus forecasts for most of our releases are tabulated by MMS International and these are reported in Business Week.The federal government's "Schedule of Release Dates"lists twenty-four monthly nonagricultural news releases.We include eighteen of these.We also include one release from a private agency,the National Association of Purchasing Managers