Showing 1 - 10 of 103
We construct a novel database of monthly foreign exchange interventions for 49 countriesover up to 22 years. We build on a text classification approach that extracts informationabout interventions from news articles and calibrate our procedure to data about actualinterventions. This new dataset...
Persistent link: https://www.econbiz.de/10014077860
We provide a broad empirical investigation of momentum strategies in the foreign exchange market. We find a significant cross-sectional spread in excess returns of up to 10% p.a. between past winner and loser currencies. This spread in excess returns is not explained by traditional risk factors,...
Persistent link: https://www.econbiz.de/10013067006
Using data for the trades of 19 central banks intervening in currency markets, we show that stabilization policies by individual central banks lead to "systematic intervention" patterns. This systematic intervention is driven by and impacts on the same factors that drive currency excess returns:...
Persistent link: https://www.econbiz.de/10012900050
Persistent link: https://www.econbiz.de/10014437201
We provide a broad empirical investigation of momentum strategies in the foreign exchange market. We find a significant cross-sectional spread in excess returns of up to 10% p.a. between past winner and loser currencies. This spread in excess returns is not explained by traditional risk factors,...
Persistent link: https://www.econbiz.de/10013127095
Persistent link: https://www.econbiz.de/10003903046
This paper provides evidence that informed traders dominate the response of limit-order submissions to shocks in a pure limit-order market. In the market we study, informed traders are highly sensitive to spreads, volatility, momentum and depth. By contrast, uninformed traders are relatively...
Persistent link: https://www.econbiz.de/10003969203
Persistent link: https://www.econbiz.de/10003935480
This paper presents an online-experiment on overconfidence in the context of financial markets. Our subject pool consists of institutional investors, investment advisors and individual investors, all of them being registered users of a large online platform for market sentiment data. Due to...
Persistent link: https://www.econbiz.de/10003950292
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