This work studies the information content of trades in the world's largest over-the-counter(OTC) market, the foreign exchange (FX) market. It analyses a novel, comprehensiveorder flow dataset, distinguishing amongst different groups of market participantsand covering a large cross-section of...

Using a comprehensive high-frequency foreign exchange dataset, we present evidence of time-of-day effects in foreign exchange returns through a significant tendency for currencies to depreciate during local trading hours. We confirm this pattern across a range of currencies and time zones. We...

This paper presents the first comprehensive examination of liquidity in the global foreign exchange (FX) swap market. Our analysis employs effective measures that assess both the tightness and depth of the global market. We identify three main findings: First, FX swap liquidity is fragmented...

We provide the first systematic asset pricing analysis of one of the main safe asset categories, the repurchase agreement (repo). A standard, no-arbitrage model with a market and a carry factor prices these near-money assets. While the market factor determines the short-term interest rate level,...