Showing 1 - 10 of 90
This paper shows that changes in the tone of central bank communication have a significant effect on asset prices. Tone captures how the central bank frames economic fundamentals and its monetary policy. When tone becomes more positive, stock prices increase, whereas credit spreads and...
Persistent link: https://www.econbiz.de/10012904171
This paper shows how traders learn from post-trade identity disclosure in a currency limit order market. We establish that identity disclosure reveals information and show how traders react by reversing their order flow in line with the better informed. Informed traders primarily incorporate...
Persistent link: https://www.econbiz.de/10003817155
, there seem to be very effective limits to arbitrage which prevent momentum returns from being easily exploitable in currency …
Persistent link: https://www.econbiz.de/10013127095
We built the largest dataset of high-frequency exchange rates so far. Our sample covers the spot prices and order flows of 19 currency pairs over the last 15 years measured on Reuters and EBS at the thirty-second frequency. We show that common, price-based factors describe exchange rate dynamics...
Persistent link: https://www.econbiz.de/10013018659
We use survey expectations about future monetary policy to decompose excess returns on fed funds futures and overnight index swaps into a term premium and an expectation error component. We find that excess returns are primarily driven by expectation errors, while term premia are economically...
Persistent link: https://www.econbiz.de/10012510197
, there seem to be very effective limits to arbitrage which prevent momentum returns from being easily exploitable in currency …
Persistent link: https://www.econbiz.de/10013067006
We study the information in order flows in the world's largest over-the-counter market, the foreign exchange market. The analysis draws on a data set covering a broad cross-section of currencies and different customer segments of foreign exchange endusers. The results suggest that order flows...
Persistent link: https://www.econbiz.de/10013007624
We study the information in order flows in the world's largest over-the-counter market, the foreign exchange market. The analysis draws on a data set covering a broad cross-section of currencies and different customer segments of foreign exchange end-users. The results suggest that order flows...
Persistent link: https://www.econbiz.de/10013008113
We examine whether consumer confidence – as a proxy for individual investor sentiment –affects expected stock returns internationally in 18 industrialized countries. In line with recentevidence for the U.S., we find that sentiment negatively forecasts aggregate stock marketreturns on average...
Persistent link: https://www.econbiz.de/10005867402
leveraged upside exposure to crypto assets in boom periods, and (ii) the relative scarcity of “arbitrage” capital taking the …
Persistent link: https://www.econbiz.de/10014235884