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Koijen, Ralph; Moskowitz, Tobias J; Pedersen, Lasse Heje; … - C.E.P.R. Discussion Papers - 2013

Any security’s expected return can be decomposed into its “carry” and its expected price appreciation, where carry is a model-free characteristic that can be observed in advance. While carry has been studied almost exclusively for currencies, we find that carry predicts returns both in the...

Persistent link: https://www.econbiz.de/10011083673

Asymmetric Information in the Stock Market: Economic News and Co-movement

Albuquerque, Rui; Vega, Clara - C.E.P.R. Discussion Papers - 2006

We analyze the effect that real-time domestic and foreign news about fundamentals have on the correlation of stock returns of a small open economy, Portugal, and a large open economy, the U.S. We also study the role of public and private information in the price formation process in the U.S. and...

Persistent link: https://www.econbiz.de/10005666949

Global Private Information in International Equity Markets

Albuquerque, Rui; Bauer, Gregor H; Schneider, Martin - C.E.P.R. Discussion Papers - 2006

This paper studies international equity markets when some investors have private information that is valuable for trading in many countries simultaneously. We use a dynamic model of equity trading to show that 'global' private information helps understand US investors’ trading behaviour and...

Persistent link: https://www.econbiz.de/10005667137

International Equity Flows and Returns: A Quantitative Equilibrium Approach

Albuquerque, Rui; Bauer, Gregory; Schneider, Martin - C.E.P.R. Discussion Papers - 2005

This paper reconsiders the role of foreign investors in developed country equity markets. It presents a quantitative model of trading that is built around two new assumptions about investor sophistication: (i) both the foreign and domestic populations contain investors with superior information...

Persistent link: https://www.econbiz.de/10005791707

Foreigners Trading and Price Effects Across Firms

Dahlquist, Magnus; Robertsson, Göran - C.E.P.R. Discussion Papers - 2001

We study the investment behaviour of foreign investors in association with an equity market liberalization, and find a strong link between foreigners' trading and local market returns. In the period following the liberalization, foreigners' net purchases led to a permanent increase in prices, or...

Persistent link: https://www.econbiz.de/10005114153

Market Stress and Herding

Hwang, Soosung; Salmon, Mark - C.E.P.R. Discussion Papers - 2004

We propose a new approach to detecting and measuring herding which is based on the cross-sectional dispersion of the … factor sensitivity of assets within a given market. This method enables us to evaluate if there is herding towards particular … sectors or styles in the market including the market index itself and critically we can also separate such herding from common …

Persistent link: https://www.econbiz.de/10005656282

Should One Rely on Professional Exchange Rate Forecasts? An Empirical Analysis of Professional Forecasts for the €/US$ Rate

Bofinger, Peter; Schmidt, Robert - C.E.P.R. Discussion Papers - 2004

The study analyses the characteristics of professional exchange rate forecasts for the €/US$ rate. The results indicate that the quality of forecasts produced by professional economists is rather poor and incompatible with the rational expectations hypothesis. This dismal result is according...

Persistent link: https://www.econbiz.de/10005666725

A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies

Rockinger, Michael; Urga, Giovanni - C.E.P.R. Discussion Papers - 2000

This paper introduces a model, based on the Kalman filter framework, which allows for time varying parameters, latent factors, and a general GARCH structure for the residuals. With this extension of the Bekaert and Harvey (1997) model it is possible to test if an emerging stock market becomes...

Persistent link: https://www.econbiz.de/10005504665

Does Market Organization Speed Up Market Stabilization? First Lessons From the Budapest and Warsaw Stock Exchanges

Zalewska, Ania - C.E.P.R. Discussion Papers - 1999

This paper investigates whether different systems of financial market organization influence the way in which newly created stock markets become more (weak-form) efficient. The author conducts a detailed comparative analysis of stocks listed on the Budapest and Warsaw Stock Exchanges, 1991-98,...

Persistent link: https://www.econbiz.de/10005497754

A Transaction Level Study of the Effects of Central Bank Intervention of Exchange Rates

Payne, Richard; Vitale, Paolo - C.E.P.R. Discussion Papers - 2001

We study the effects of sterilized intervention operations executed on behalf of the Swiss National Bank (SNB) using tick-by-tick transaction data between 1985-95.We extend preliminary analysis conducted by Fischer and Zurlinden (1999) by matching these data with intra-day indicative exchange...

Persistent link: https://www.econbiz.de/10005497953