| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w9893 |
| 来源ID | Working Paper 9893 |
| Inventory Information | |
| H. Henry Cao; Richard K. Lyons; Martin D.D. Evans | |
| 发表日期 | 2003-08-18 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | In a market with symmetric information about fundamentals, can information-based trade still arise? Consider bond and FX markets, where private information about nominal cash flows is generally absent, but participants are convinced that superior information exists. We analyze a class of asymmetric information - inventory information - that is unrelated to fundamentals, but still forecasts future price (by forecasting future discount factors). Empirical work based on the analysis shows that inventory information in FX does indeed forecast discount factors, and does so over both short and long horizons. The immediate price impact of shocks to inventory information is large, roughly 50 percent of that from public information shocks (the latter being the whole story under symmetric information). Within about 30 minutes the transitory effect dies out, and prices reflect a permanent effect from inventory information that ranges between 15 and 30 percent of that from public information. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w9893 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/567518 |
| 推荐引用方式 GB/T 7714 | H. Henry Cao,Richard K. Lyons,Martin D.D. Evans. Inventory Information. 2003. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w9893.pdf（468KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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