The Monetary Origins of Asymmetric Information in International Equity Markets
Gregory Bauer () and
Staff Working Papers from Bank of Canada
Existing studies using low-frequency data show that macroeconomic shocks contribute little to international stock market covariation. Those studies, however, do not account for the presence of asymmetric information, where sophisticated investors generate private information about the fundamentals that drive returns in many countries. In this paper, the authors use a new microstructure data set to better identify the effects of private and public information shocks about U.S. interest rates and equity returns. High-frequency private and public information shocks help forecast domestic money and equity returns over daily and weekly intervals. In addition, these shocks are components of factors that are priced in a model of the cross-section of international returns. Linking private information to U.S. macroeconomic factors is useful for many domestic and international asset-pricing tests.
Keywords: Financial markets; International topics; Market structure and pricing (search for similar items in EconPapers)
JEL-codes: F30 G12 G14 G15 (search for similar items in EconPapers)
Pages: 67 pages
New Economics Papers: this item is included in nep-cba, nep-fin and nep-fmk
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Working Paper: The monetary origins of asymmetric information in international equity markets (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocawp:04-47
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