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Common Information in Carry Trade Risk Factors
Byrne, Joseph - 2016
Carry returns have been widely observed in the FX market. This study exploits the common information embedded in several factors previously identified as relevant to carry trade returns. We find that the extracted common factor successfully models the time series and cross-sectional...
Persistent link: https://www.econbiz.de/10012978293
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Private Information and Currency Returns : A Corporate Investment Connection
Riddiough, Steven; Zhang, Huizhong - 2021
We uncover a novel source of predictive information, originating from the announcements of cross-border mergers and acquisitions (M&As), that forecasts economic acceleration and currency returns. Consistent with the announcements revealing firms' private expectations about economic fundamentals,...
Persistent link: https://www.econbiz.de/10013233551
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Heterogeneous information content of global FX trading
Ranaldo, Angelo; Somogyi, Fabricius - 2018 - This Version: December 12, 2018
across agents, time and currency pairs, consistent withthe asymmetric information theory and OTC market fragmentation. A …
Persistent link: https://www.econbiz.de/10011906507
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Permanent trading impacts and bond yields
Dufour, Alfonso; Nguyen, Minh - In: The European journal of finance 18 (2012) 9/10, pp. 841-864
Persistent link: https://www.econbiz.de/10009691777
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Information, liquidity, and dynamic limit order markets
Riccò, Roberto; Rindi, Barbara; Seppi, Duane J. - 2020 - This Version: March, 2020
Persistent link: https://www.econbiz.de/10012200670
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Limit order trading and information asymmetry : empirical evidence about the evolution of liquidity on an order driven market
Allen, David E. (contributor); Yang, Joey W. (contributor) - 2008
Persistent link: https://www.econbiz.de/10003760003
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Liquidity and the marginal value of information
Boulatov, Alex; Taub, Bart - In: Economic theory : official journal of the Society for … 55 (2014) 2, pp. 307-334
Persistent link: https://www.econbiz.de/10010250103
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A simple approximation of intraday spreads using daily data
Chung, Kee H.; Zhang, Hao - In: Journal of financial markets 17 (2014), pp. 94-120
Persistent link: https://www.econbiz.de/10010437266
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Quality of Financial Information and Liquidity
Bardos, Katsiaryna - 2011
This paper examines the relationship between liquidity and quality of financial information by analyzing long …. Overall, my results indicate a positive relationship between quality of financial information and liquidity …
Persistent link: https://www.econbiz.de/10013131559
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The Effect of Information Quality on Liquidity Risk
Ng, Jeffrey - 2013
I investigate whether information quality affects the cost of equity capital through liquidity risk. Liquidity risk is … the sensitivity of stock returns to unexpected changes in market liquidity; recent asset pricing literature has emphasized … the importance of this systematic risk. I find that higher information quality is associated with lower liquidity risk and …
Persistent link: https://www.econbiz.de/10013093674