Item Type |
Conference or Workshop Item
(Paper)
|
Abstract |
This paper studies the information content of trades in the world's largest over-thecounter market, the foreign exchange (FX) market. The results are derived from a comprehensive order flow dataset distinguishing between different groups of market participants
and covering a broad cross-section of currency pairs. Our findings show that both the contemporary and permanent price impact are heterogeneous across agents, time, and currency pairs, supporting the asymmetric information theory. A trading strategy based on the permanent price impact capturing superior information generates high returns even after accounting for risk, transaction costs, and other common risk factors documented in the FX literature. |
Authors |
Ranaldo, Angelo & Somogyi, Fabricius |
Language |
English |
Keywords |
Carry trade, Currency portfolios, Heterogeneity, Order flow, Price discovery |
Subjects |
finance |
HSG Classification |
contribution to scientific community |
HSG Profile Area |
SOF - System-wide Risk in the Financial System |
Date |
4 January 2019 |
Event Title |
AFA 2019 Annual Meeting |
Event Location |
Atlanta |
Event Dates |
4-6 January 2019 |
Depositing User |
Christina Ihasz
|
Date Deposited |
29 Jan 2019 08:24 |
Last Modified |
27 Mar 2023 00:25 |
URI: |
https://www.alexandria.unisg.ch/publications/256513 |