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FX Microstructure

Currency Flows
•Kenneth A. Froot & Tarun Ramadorai, 2005. "Currency Returns, Intrinsic Value, and Institutional-Investor Flows," Journal of Finance, American Finance Association, vol. 60(3), pages 1535-1566, 06.

•Kenneth A. Froot & Paul G.J. O'Connell & Mark S. Seasholes, 1998. "The Portfolio Flows of International Investors,," NBER Working Papers 6687, National Bureau of Economic Research, Inc.

•Jessica Tjornhom Donohue & Kenneth A. Froot, 2002. "The Persistence of Emerging Market Equity Flows," NBER Working Papers 9241, National Bureau of Economic Research, Inc.

Using A Flow Proxy
•Bohn, Henning & Tesar, Linda L, 1996. "U.S. Equity Investment in Foreign Markets: Portfolio Rebalancing or Return Chasing?," American Economic Review, American Economic Association, vol. 86(2), pages 77-81, May.

•Michael J. Brennan. and H. Henry Cao., 1997. "International Portfolio Investment Flows," Research Program in Finance Working Papers RPF-271, University of California at Berkeley.

M&A Flows
•Ingo Fender, Gabriele Galati, The impact of transatlantic M&A activity on the dollar/euro exchange rate, BIS Quarterly Review, December 2001.

High Frequency Microstructure
•David W. Berger & Alain P. Chaboud & Sergey V. Chernenko & Edward Howorka & Raj S. Iyer & David Liu, 2005. "Order flow and exchange rate dynamics in electronic brokerage system data," International Finance Discussion Papers 830, Board of Governors of the Federal Reserve System (U.S.).

•C. L. Osler, 2002. "Stop-loss orders and price cascades in currency markets," Staff Reports 150, Federal Reserve Bank of New York.

•Carol L. Osler, 2003. "Currency Orders and Exchange Rate Dynamics: An Explanation for the Predictive Success of Technical Analysis," Journal of Finance, American Finance Association, vol. 58(5), pages 1791-1820.

•Jon Faust & John H. Rogers & Shing-Yi B. Wang & Jonathan H. Wright, 2003. "The high-frequency response of exchange rates and interest rates to macroeconomic announcements," International Finance Discussion Papers 784, Board of Governors of the Federal Reserve System (U.S.).

Attached files:

froot_oconnell_seasholes_JFE_2001.pdf  Fund Flows in EM paper.pdf  

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