Menkveld, Albert J.; Sarkar, Asani; van der Wel, Michel - Center for Financial Studies - 2008
impact. We show that this customer flow informativeness is strongest at times when analyst forecasts of macro variables are … highly dispersed. We study 30 year treasury futures to identify the customer flow. We further show that intermediaries appear … to benefit from privately recognizing informed customer flow, as, in the cross-section, their own-account trade …
