Harald Hau

TL;DR: In this article, the authors explore informational asymmetries across the trader population: traders located outside Germany in non-German-speaking cities show lower proprietary trading profit and their underperformance is statistically significant, it is also of economically significant magnitude and occurs for the 11 largest German blue-chip stocks.

TL;DR: The authors developed an equilibrium model in which exchange rates, stock prices and capital flows are jointly determined under incomplete forex risk trading, showing that higher returns in the home equity market relative to the foreign equity market are associated with a home currency depreciation and net equity flows into the foreign market are positively correlated with a foreign currency appreciation.

TL;DR: This article developed an equilibrium model in which exchange rates, stock prices and capital flows are jointly determined under incomplete forex risk trading, and the model predictions are strongly supported at daily, monthly and quarterly frequencies for 17 OECD countries vis-...-vis the U.S.

TL;DR: In this article, the authors compared the volatility of the trade-weighted effective real exchange rate to the degree of trade openness of an economy and found that differences in trade openness explain a large part of the cross-country variance in the volatility.

TL;DR: In this paper, the authors explore whether the pattern of international equity returns, equity portfolio flows, and exchange rate returns are consistent with the hypothesis that (unhedged) global investors rebalance their portfolio in order to limit their exchange rate exposure when there are (1) relative equity return; and (2) exchange rate shocks.