G2TT
来源类型Discussion paper
规范类型论文
来源IDDP4878
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
URLhttps://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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