We investigate whether value-relevant foreign information only gradually dilutes into stock prices of multinational … on firms' foreign sales information yields future returns of more than 10% p.a. globally. The return spread due to … foreign information is substantial across different geographical regions and cannot be explained by traditional risk factors …

This work studies the information content of trades in the world's largest over-the-counter(OTC) market, the foreign … participantsand covering a large cross-section of currency pairs. We find compelling evidence of heterogeneous superior information … across agents, time and currency pairs, consistent withthe asymmetric information theory and OTC market fragmentation. A …