Journal ArticleDOI
International Order Flows: Explaining Equity and Exchange Rate Returns
TLDR
In this paper, a structural relationship between equity returns, exchange rate returns and their relationship to home and foreign equity market order flow is investigated, showing that almost 60% of the daily returns in the S&P100 index are explained jointly by exchange rate return and aggregate order flow in both markets.About:
This article is published in Journal of International Money and Finance.The article was published on 2010-03-01. It has received 52 citations till now. The article focuses on the topics: Equity risk & Exchange rate.read more
Citations
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Federal Reserve Bank of New Yorkの制定せる財務諸表様式について
TL;DR: The Board of Governors' Semiannual Agenda of Regulations for the period August 1, 1980 through February 1, 1981 as discussed by the authors provides information on those regulatory matters that the Board now has under consideration or anticipates considering over the next six months.
Book
Investment in capital markets
TL;DR: In this paper, the authors discuss the pros and cons of the financial capital investment in the capital markets, discussing the sophisticated investment concepts and techniques in the simple understandable readable general format language.
Journal ArticleDOI
Transmission of the Financial and Sovereign Debt Crises to the EMU: Stock Prices, CDS Spreads and Exchange Rates
TL;DR: In this paper, the authors used daily data from 2003 to 2010 on country financial and non-financial stock market indexes to test for the transmission of the 2007-2010 financial and sovereign debt crises to fifteen EMU countries.
Journal ArticleDOI
Transmission of the financial and sovereign debt crises to the EMU: Stock prices, CDS spreads and exchange rates
TL;DR: In this article, the authors used daily data from 2003 to 2010 on country financial and non-financial stock market indexes to analyze the stock market returns for three country groups within EMU: North, South and Small.
Posted Content
Explaining Exchange Rate Dynamics: The Uncovered Equity Return Parity Condition
TL;DR: In this article, the authors proposed an arbitrage relationship -the Uncovered Equity Return Parity (URP) condition -to explain the dynamics of exchange rates, where the expected equity returns in a country/region are lower than expected equity return in another country /region, the currency associated with the market offering lower returns is expected to appreciate.
References
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Journal ArticleDOI
Liquidity Risk and Expected Stock Returns
Lubos Pastor,Robert F. Stambaugh +1 more
TL;DR: In this article, the authors investigated whether marketwide liquidity is a state variable important for asset pricing and found that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity.
Journal ArticleDOI
Risk, uncertainty, and divergence of opinion
TL;DR: In this paper, the authors explore the implications of a market with restricted short selling in which investors have differing estimates of the returns from investing in a risky security, and explain the very low returns on the stocks in the highest risk classes, the poor long run results on new issues of stocks, the presence of discounts from net value for closed end investment companies, and the lower than predicted rates of return for stocks with high systematic risk.
Posted Content
The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
TL;DR: In this article, a linearization of a rational expectations present value model for corporate stock prices produces a simple relation between the log dividend-price ratio and mathematical expectations of future log real dividend changes and future real discount rates.
Journal ArticleDOI
Inferring Trade Direction from Intraday Data
Charles M.C. Lee,Mark J. Ready +1 more
TL;DR: In this paper, the authors evaluate alternative methods for classifying individual trades as market buy or market sell orders using intraday trade and quote data and identify two serious potential problems with this method, namely, that quotes are often recorded ahead of the trade that triggered them and that trades inside the spread are not readily classifiable.
ReportDOI
The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
TL;DR: In this paper, the authors proposed a linearized model to evaluate the importance of real dividend growth, measured real discount rates, and unexplained factors in determining the dividend-price ratio for U.S. time series 1871-1986 and 1926-1986.