Is the intrinsic value of a macroeconomic news announcement related to its asset price impact?

The literature documents a heterogeneous asset price response to macroeconomic news announcements. We relate this heterogeneity to a novel measure of the intrinsic value of an announcement-the announcement's ability to nowcast GDP growth, inflation, and the federal funds target rate-and find that differences across the intrinsic values of several U.S. macroeconomic announcements explain a significant fraction of the variation in the impact each of these announcements has on U.S. Treasury yields. We also decompose the intrinsic value into the announcement's relation to fundamentals, a timeliness premium, and a revision premium, and find that the former two characteristics are the most important ones in explaining the heterogeneous response.