Inventory Information

Martin Evans
Authors registered in the RePEc Author Service: Huining Henry Cao ()

Working Papers from Georgetown University, Department of Economics

Abstract: When information about fundamentals is symmetric, can information-based trade still arise? Consider bond and FX markets, where private information about nominal cash flows is generally absent, but participants are convinced that superior information exists. We analyze a class of asymmetric information-inventory-information-that is unrelated to fundamentals, but still forecasts future price (by forecasting future discount factors). We find that inventory information in FX does indeed forecast discount factors, and does so over both short and long horizons. The permanent effect from inventory information ranges between 15 and 30 percent of that from public information.

Date: 2003-03-30
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www8.georgetown.edu/departments/economics/pdf/333.pdf Full text (application/pdf)
None

Related works:
Chapter: Inventory Information (2017)
Journal Article: Inventory Information (2006)
Working Paper: Inventory Information (2003)
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: https://EconPapers.repec.org/RePEc:geo:guwopa:gueconwpa~03-03-33

Ordering information: This working paper can be ordered from
Roger Lagunoff Professor of Economics Georgetown University Department of Economics Washington, DC 20057-1036
http://econ.georgetown.edu/

Access Statistics for this paper

More papers in Working Papers from Georgetown University, Department of Economics Georgetown University Department of Economics Washington, DC 20057-1036.
Bibliographic data for series maintained by Marcia Suss ( this e-mail address is bad, please contact ).