I consider limit order book events that are likely to contribute to price discovery in the foreign exchange market. These events involve transactions and limit orders. The variance decomposition shows that improving order and worsening cancel, these are limit order events, substantially...

Our model decomposes the exchange rate exposure into two parts; individual and systematic ones. The former is the residual one that the past studies have mainly examined. The latter is the product of the exposure of the market portfolio and a firm's market beta, which reflects the exogenous...

I consider limit order book events that are likely to contribute to price discovery in the foreign exchange market, specifically, limit orders and transactions (market orders). The variance decomposition shows that improving orders and worsening cancels, both limit order events, substantially...