Title:

Marketwide Private Information in Stocks: Forecasting Currency Returns

Authors:

Rui Albuquerque (U Boston)
Eva de Francisco (U Towson)
Luis Brandao-Marques (John Hopkins U, CEMPRE, U Porto)

Journal:

Journal of Finance

Year:

2008

Volume:

63

Pages:

2297-2343

JEL codes:

D82 - Asymmetric and Private Information
F31 - Foreign Exchange
F37 - International Finance Forecasting and Simulation
G14 - Information and Market Efficiency; Event Studies