| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5873 |
| DP5873 What Has Mattered to Economics Since 1970 | |
| Luigi Zingales; Adair Morse; E Han Kim | |
| 发表日期 | 2006-10-08 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | Using detailed data on currency transactions of institutional investors, this paper shows that funds that experience high returns on their currency holdings also execute currency trades at more favourable prices. This observation is consistent with foreign exchange dealers bidding for information from successful traders. If true, this provides little incentive for successful funds to intertemporally split orders to avoid tipping off dealers. In accordance with this, the paper finds that better performing funds have less persistent currency order flow. These results are consistent with the theoretical model of Naik, Neuberger and Viswanathan [1999]. The results can also be explained by the funds acting as secondary providers of liquidity in these markets, or by dealers perceiving that funds have different price elasticities of demand for currencies, and pricing accordingly. |
| 主题 | Financial Economics |
| 关键词 | Foreign exchange Performance Microstructure Order flow |
| URL | https://cepr.org/publications/dp5873 |
| 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/534707 |
| 推荐引用方式 GB/T 7714 | Luigi Zingales,Adair Morse,E Han Kim. DP5873 What Has Mattered to Economics Since 1970. 2006. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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