Marketwide private information in stocks: Forecasting currency returns

被引：30

作者：

Albuquerque, Rui ^{[1
]}

De Francisco, Eva ^{[2
]}

Marques, Luis B. ^{[3
,4
]}

机构：

[1] Boston Univ, Sch Management, Boston, MA 02215 USA

[2] Towson Univ, Dept Econ, Towson, MD USA

[3] Johns Hopkins Univ, Paul H Nitze Sch Adv Int Studies, Baltimore, MD 21218 USA

[4] CEMPRE, Oporto, Portugal

来源：

JOURNAL OF FINANCE | 2008年 / 63卷 / 05期

关键词：

D O I：

10.1111/j.1540-6261.2008.01398.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We present a model of equity trading with informed and uninformed investors where informed investors trade on firm-specific and marketwide private information. The model is used to identify the component of order flow due to marketwide private information. Estimated trades driven by marketwide private information display little or no correlation with the first principal component in order flow. Indeed, we find that co-movement in order flow captures variation mostly in liquidity trades. Marketwide private information obtained from equity market data forecasts industry stock returns, and also currency returns.

引用

页码：2297 / 2343

页数：47

共 39 条

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