| 000 | 01241pab a2200193 454500 | ||
|---|---|---|---|
| 008 | 140923b0 xxu||||| |||| 00| 0 eng d | ||
| 040 |
_cWelingkar Institute of Management Development & Research, Mumbai _aWelingkar Institute of Management Development & Research, Mumbai |
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| 041 | _aENG | ||
| 082 |
_a _bAlb |
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| 100 | _aAlbuquerque Rui | ||
| 245 | _aMarketwide Private Information in Stocks : Forecasting Currency Returns | ||
| 250 | _a5 | ||
| 260 |
_a _bOct 2008 _c0 |
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| 300 | _a2297-2343 Pp. | ||
| 490 | _v63 | ||
| 520 | _aWe 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. | ||
| 856 | _uhttp://192.168.6.13/libsuite/mm_files/Articles/AR10410.pdf | ||
| 906 | _a30117 | ||
| 999 |
_c30251 _d30251 |
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