| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4878 |
| DP4878 Benefits of Broad-based Option Pay | |
| Roman Inderst; Holger Mueller | |
| 发表日期 | 2005-01-23 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | Macroeconomic models of equity returns perform poorly. The proportion of daily index returns that these models explain is essentially zero. Instead of relying on macroeconomic determinants, our model includes a concept from microstructure order flow. Order flow is the proximate determinant of price in all microstructure models. We explain aggregate equity returns as well as exchange rates in a model with heterogenous beliefs. Belief changes are shown to be observable through order flow. To test the model we construct daily aggregate order flow data from all equity trades in the U.S. and France from 1999 to 2003. Almost 60% of the daily returns in the S&P100 index are explained jointly by exchange rate returns and macroeconomic order flows. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | International macroeconomics Equities Exchange rates Microstructure |
| URL | https://cepr.org/publications/dp4878 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533782 |
| 推荐引用方式 GB/T 7714 | Roman Inderst,Holger Mueller. DP4878 Benefits of Broad-based Option Pay. 2005. |
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