Marketwide private information in stocks: Forecasting currency returns

• 成果类型: Article
• 署名作者: Albuquerque, Rui; De Francisco, Eva; Marques, Luis B.
• 署名单位: Boston University; University System of Maryland; Towson University; Johns Hopkins University; Universidade do Porto
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2008.01398.x
• 发表日期: 2008
• 页码: 2297-2343
• 关键词: order flow; INTERNATIONAL EQUITY; regressions; INVESTMENT; liquidity; BEHAVIOR; prices; RISK

摘要

We present a model of equity trading with informed and uninformed investors where informed investors trade on firm-specific and marketwide private information. The model is used to identify the component of order flow due to marketwide private information. Estimated trades driven by marketwide private information display little or no correlation with the first principal component in order flow. Indeed, we find that co-movement in order flow captures variation mostly in liquidity trades. Marketwide private information obtained from equity market data forecasts industry stock returns, and also currency returns.