| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5606 |
| DP5606 Political Conflict and Power-Sharing in the Origins of Modern Colombia | |
| James Robinson; Sebastián L Mazzuca | |
| 发表日期 | 2006-04-03 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | We present a model of equity trading with informed and uninformed investors where informed investors act upon firm-specific private information and marketwide private information. The model is used to structurally identify the component of order flow that is due to marketwide private information. Trades driven by marketwide private information display very little or no correlation with the first principal component of order flow. This finding implies that a simple statistical factor is a poor measure of marketwide private information. Moreover, the model suggests that the previously documented comovement in order flow captures mostly common variation in liquidity trades. We find that marketwide private information obtained from equity market data forecasts industry stock returns and foreign exchange returns consistent with Evans and Lyons' (2004a) model of exchange rate determination. |
| 主题 | Financial Economics |
| 关键词 | Marketwide private information Firm-specific private information Order flow Principal components Currency returns Equity returns |
| URL | https://cepr.org/publications/dp5606 |
| 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/534458 |
| 推荐引用方式 GB/T 7714 | James Robinson,Sebastián L Mazzuca. DP5606 Political Conflict and Power-Sharing in the Origins of Modern Colombia. 2006. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
