Marketwide Private Information in Stocks: Forecasting Currency Returns

Rui Albuquerque (), Eva de Francisco and Luis Marques ()

Journal of Finance, 2008, vol. 63, issue 5, pages 2297-2343

Abstract: 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. Copyright (c) 2008 The American Finance Association.

Date: 2008
View citations in EconPapers

Downloads: (external link)
http://www.blackwell-synergy.com/doi/abs/10.1111/j.1540-6261.2008.01398.x link to full text (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Marketwide Private Information in Stocks: Forecasting Currency Returns (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:bla:jfinan:v:63:y:2008:i:5:p:2297-2343

Ordering information: This journal article can be ordered from
http://www.afajof.org/membership/join.asp

Access Statistics for this article

Journal of Finance is edited by Robert F. Stambaugh

More articles in Journal of Finance from American Finance Association
Contact information at EDIRC.
Series data maintained by Christopher F. Baum ().