Fabricius Somogyi

Fabricius Somogyi

Former Member

Last Name

Somogyi

First name

Fabricius

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fabricius.somogyi@unisg.ch

Now showing 1 - 10 of 13

Liquidity Risk and Currency Premia *

( 2023-09-12)
Söderlind, Paul
;
Somogyi, Fabricius

The currency market is the world's largest financial market by trading volume. We show that even in this highly liquid market exposure to liquidity risk commands an economically significant risk premium of up to 3.6% per year. Liquidity risk is not subsumed by existing currency risk factors and successfully prices the cross-section of currency excess returns. Moreover, we find that liquidity risk and carry trade premia are correlated, although this correlation is limited to static rather than dynamic carry trades. Building upon this result, we propose a liquidity-based explanation for the carry trade, which adds significant explanatory power to existing theories.

Type: journal article

Journal: Management Science

Volume: forthcoming

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/118115
Asymmetric Information Risk in FX Markets

(Elsevier, 2021-05)
Ranaldo, Angelo
;
Somogyi, Fabricius

This work studies the information content of trades in the world’s largest over-the-counter (OTC) market, the foreign exchange (FX) market. It analyzes a novel, comprehensive order flow data set, distinguishing among different groups of market participants and covering a large cross-section of currency pairs. We find compelling evidence of heterogeneous superior information across agents, time, and currency pairs, consistent with the asymmetric information theory and OTC market fragmentation. A trading strategy based on the permanent price impact, capturing asymmetric information risk, generates high returns even after accounting for risk, transaction cost, and other common risk factors shown in the FX literature.

Type: journal article

Journal: Journal of Financial Economics

Volume: 140

Issue: 2

URL: https://www.sciencedirect.com/science/article/pii/S0304405X20303470?via%3Dihub

DOI: 10.1016/j.jfineco.2020.12.007

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/110450

Scopus© Citations 19
When Does Liquidty Matter?

Somogyi, Fabricius
;
Söderlind, Paul

Type: conference paper

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/116677
Dollar Dominance in FX Trading

( 2021-10)
Somogyi, Fabricius

Type: conference paper

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/109866
Asymmetric Information Risk in FX Markets

( 2020-11-19)
Ranaldo, Angelo
;
Somogyi, Fabricius

Type: conference paper

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/111551
Asymmetric Information Risk in FX Markets

( 2019-12-19)
Ranaldo, Angelo
;
Somogyi, Fabricius

This work studies the information content of trades in the world's largest over-the-counter (OTC) market, the foreign exchange (FX) market. It analyses a novel, comprehensive order flow dataset, distinguishing amongst different groups of market participants and covering a large cross-section of currency pairs. We find compelling evidence of heterogeneous superior information across agents, time and currency pairs, consistent with the asymmetric information theory and OTC market fragmentation. A trading strategy based on the permanent price impact, capturing asymmetric information risk, generates high returns even after accounting for risk, transaction costs and other common risk factors documented in the FX literature.

Type: conference paper

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/97931
Heterogeneous Information Content of Global FX Trading

( 2019-01-04)
Ranaldo, Angelo
;
Somogyi, Fabricius

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.

Type: conference paper

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/98998
Heterogeneous Information Content of Global FX Trading

( 2019-04-01)
Ranaldo, Angelo
;
Somogyi, Fabricius

Type: conference paper

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/98765
Heterogeneous Information Content of Global FX Trading

( 2019-06-06)
Ranaldo, Angelo
;
Somogyi, Fabricius

Type: conference paper

URL: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3263279##

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/98576
Heterogeneous Information Content of Global FX Trading

( 2018-11-05)
Ranaldo, Angelo
;
Somogyi, Fabricius

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.

Type: conference paper

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/99884

Fabricius Somogyi

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