Imperial College London
Alternate

Alexander Michaelides

Business School

Professor of Finance
 
 
 
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Contact

 

a.michaelides Website CV

 
 
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Location

 

1.06B53 Prince's GateSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Michaelides:2019:10.1016/j.jfineco.2018.08.012,
author = {Michaelides, A and Milidonis, A and Nishiotis, G},
doi = {10.1016/j.jfineco.2018.08.012},
journal = {Journal of Financial Economics},
pages = {643--665},
title = {Private information in currency markets},
url = {http://dx.doi.org/10.1016/j.jfineco.2018.08.012},
volume = {131},
year = {2019}
}
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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - Using daily abnormal currency returns for the universe of countries with flexible exchange rates, we show local currency depreciations ahead of unscheduled, public sovereign debt downgrade announcements. Consistent with the private information hypothesis, the effect is stronger in lower institutional quality countries and holds after we control for concurrent public information and for publicly available rumors about the forthcoming downgrades. Our results persist when abnormal currency returns are adjusted for global carry and dollar risk factors, world equity and bond returns, as well as local stock market returns. Finally, the currency depreciations are permanent, providing evidence for a link between fundamentals and currency markets.
AU  - Michaelides,A
AU  - Milidonis,A
AU  - Nishiotis,G
DO  - 10.1016/j.jfineco.2018.08.012
EP  - 665
PY  - 2019///
SN  - 0304-405X
SP  - 643
TI  - Private information in currency markets
T2  - Journal of Financial Economics
UR  - http://dx.doi.org/10.1016/j.jfineco.2018.08.012
UR  - http://hdl.handle.net/10044/1/57386
VL  - 131
ER  -
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