Albuquerque is at the Boston University School of Management and with CEPR. De Francisco is at the Department of Economics at Towson University. Marques is at the Paul H. Nitze School of Advanced International Studies, Johns Hopkins University and with CEMPRE. We thank Marine Carrasco and Werner Ploberger for useful discussions and Clara Vega for many detailed comments on an earlier version of the paper. We also thank seminar participants at the Bank of Portugal, Instituto de Empresa Business School in Madrid, the University of Rochester and the Federal Reserve Board for comments. The paper has greatly benefited from comments by an anonymous referee and an associate editor. Marques thanks Fundação para a Ciência e a Tecnologia, Portugal, for financial support. The usual disclaimer applies.
Marketwide Private Information in Stocks: Forecasting Currency Returns
Version of Record online: 10 SEP 2008
© 2008 the American Finance Association
The Journal of Finance
Volume 63, Issue 5, pages 2297–2343, October 2008
How to Cite
ALBUQUERQUE, R., DE FRANCISCO, E. and MARQUES, L. B. (2008), Marketwide Private Information in Stocks: Forecasting Currency Returns. The Journal of Finance, 63: 2297–2343. doi: 10.1111/j.1540-6261.2008.01398.x
- Issue online: 10 SEP 2008
- Version of Record online: 10 SEP 2008
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