Journal of financial economics, 2021-05, Vol.140 (2), p.391-411
2021
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- Autor(en) / Beteiligte
- Titel
- Asymmetric information risk in FX markets
- Ist Teil von
- Journal of financial economics, 2021-05, Vol.140 (2), p.391-411
- Ort / Verlag
- Amsterdam: Elsevier B.V
- Erscheinungsjahr
- 2021
- Quelle
- Alma/SFX Local Collection
- Beschreibungen/Notizen
- This work studies the information content of trades in the world’s largest over-the-counter (OTC) market, the foreign exchange (FX) market. It analyzes a novel, comprehensive order flow data set, distinguishing among different groups of market participants and covering a large cross-section of currency pairs. We find compelling evidence of heterogeneous superior information across agents, time, and currency pairs, consistent with the asymmetric information theory and OTC market fragmentation. A trading strategy based on the permanent price impact, capturing asymmetric information risk, generates high returns even after accounting for risk, transaction cost, and other common risk factors shown in the FX literature.
- Sprache
- Englisch
- Identifikatoren
- ISSN: 0304-405XeISSN: 1879-2774DOI: 10.1016/j.jfineco.2020.12.007Titel-ID: cdi_proquest_journals_2518420560
- Format
- –
- Schlagworte
- Asymmetric information, Asymmetry, Business schools, Conferences and conventions, Currency, Currency portfolios, Foreign exchange, Foreign exchange market, Hospitality industry, Information content, Information theory, Order flow, OTC, Over the counter sales, Over the counter trading, Risk assessment, Risk factors, Risk premium, Securities trading, Segmentation, Trading