Marketwide Private Information in Stocks: Forecasting Currency Returns
构建了一个知情与不知情投资者的股票交易模型，从中分离出由市场范围私人信息驱动的订单流成分，发现该成分能预测行业股票回报和货币回报，对研究信息传递和汇率预测的学者有参考价值。
ABSTRACT We present a model of equity trading with informed and uninformed investors where informed investors trade on firm‐specific and marketwide private information. The model is used to identify the component of order flow due to marketwide private information. Estimated trades driven by marketwide private information display little or no correlation with the first principal component in order flow. Indeed, we find that co‐movement in order flow captures variation mostly in liquidity trades. Marketwide private information obtained from equity market data forecasts industry stock returns, and also currency returns.