Michael Melvin

University of California, San Diego (UCSD) - Rady School of Management

9500 Gilman Drive

Rady School of Management

La Jolla, CA 92093

United States

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5

Munich, DE-81679

Germany

SCHOLARLY PAPERS

24

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7,560

SSRN CITATIONS
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Top 5,535

in Total Papers Citations

67

CROSSREF CITATIONS

172

Scholarly Papers (24)

1.

Forecasting Exchange Rates: An Investor Perspective

CESifo Working Paper Series No. 4238
Number of pages: 40 Posted: 22 May 2013
Michael Melvin, Michael Melvin, John Prins and Duncan D. Shand
CESifo (Center for Economic Studies and Ifo Institute)University of California, San Diego (UCSD) - Rady School of Management, BlackRock, Inc and BlackRock, Inc
Downloads 1,114 (27,584)

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exchange rate forecasting, forecast evaluation, conditioners, quantitative models, benchmarks

2.
Downloads 1,000 ( 32,135)
Citation 57

The Crisis in the Foreign Exchange Market

CESifo Working Paper Series No. 2707
Number of pages: 40 Posted: 22 Jul 2009
Michael Melvin, Michael Melvin and Mark P. Taylor
CESifo (Center for Economic Studies and Ifo Institute)University of California, San Diego (UCSD) - Rady School of Management and Barclays - Barclays Global Investors (London)
Downloads 994 (31,947)
Citation 9

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financial crisis, foreign exchange, exchange rates, transaction costs

The Crisis in the Foreign Exchange Market

CEPR Discussion Paper No. DP7472
Number of pages: 38 Posted: 07 Oct 2009
Michael Melvin, Michael Melvin and Mark P. Taylor
CESifo (Center for Economic Studies and Ifo Institute)University of California, San Diego (UCSD) - Rady School of Management and Barclays - Barclays Global Investors (London)
Downloads 6 (862,770)
Citation 7
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Financial crisis, foreign exchange market

3.

When Carry Goes Bad: The Magnitude, Causes, and Duration of Currency Carry Unwinds

CESifo Working Paper Series No. 6210
Number of pages: 54 Posted: 12 Jan 2017
Michael Melvin, Michael Melvin and Duncan D. Shand
CESifo (Center for Economic Studies and Ifo Institute)University of California, San Diego (UCSD) - Rady School of Management and BlackRock, Inc
Downloads 658 (56,726)
Citation 3

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carry trade, financial risk, duration, active portfolio management

4.

Price Discovery in International Equity Trading

Number of pages: 31 Posted: 10 May 2001
Joachim Grammig, Christian Schlag, Michael Melvin and Michael Melvin
University of Tuebingen, Goethe University Frankfurt and CESifo (Center for Economic Studies and Ifo Institute)University of California, San Diego (UCSD) - Rady School of Management
Downloads 532 (74,273)
Citation 17

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5.

Little Guys, Liquidity, and the Informational Efficiency of Price: Evidence from the Tokyo Stock Exchange on the Effects of Small Investor Participation

AFA 2006 Boston Meetings Paper
Number of pages: 44 Posted: 15 Mar 2005
Hee-Joon Ahn, Jun Cai, Yasushi Hamao, Yasushi Hamao, Michael Melvin and Michael Melvin
SungKyunKwan University, City University of Hong Kong (CityU) - Department of Economics & Finance, University of Southern California - Marshall School of Business - Finance and Business Economics DepartmentCenter on Japanese Economy and Business and CESifo (Center for Economic Studies and Ifo Institute)University of California, San Diego (UCSD) - Rady School of Management
Downloads 484 (83,345)
Citation 2

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Small investors, noise traders, informed traders, microstructure, Tokyo Stock Exchange, minimum trading unit

6.

'Once-in-A-Generation' Yen Volatility in 1998: Fundamentals, Intervention, and Order Flow

Arizona State University Working Paper No. 99/7
Number of pages: 34 Posted: 24 Feb 2000
Jun Cai, Stephen Yan-Leung Cheung, Raymond S. Lee, Michael Melvin and Michael Melvin
City University of Hong Kong (CityU) - Department of Economics & Finance, City University of Hong Kong (CityU) - Department of Economics & Finance, City University of Hong Kong (CityU) and CESifo (Center for Economic Studies and Ifo Institute)University of California, San Diego (UCSD) - Rady School of Management
Downloads 444 (92,313)
Citation 17

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7.

A Stock Market Boom During a Financial Crisis? Adrs and Capital Outflows in Argentina

ASU Department of Economics Working Paper No. 6/2002
Number of pages: 23 Posted: 09 Oct 2002
Michael Melvin and Michael Melvin
CESifo (Center for Economic Studies and Ifo Institute)University of California, San Diego (UCSD) - Rady School of Management
Downloads 397 (105,061)
Citation 9

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Financial crisis, Argentina, ADRs

8.

The Effects of International Cross-Listing on Rival Firms

Number of pages: 39 Posted: 01 Dec 2003
Michael Melvin, Michael Melvin and Magali Valero-Tonone
CESifo (Center for Economic Studies and Ifo Institute)University of California, San Diego (UCSD) - Rady School of Management and affiliation not provided to SSRN
Downloads 388 (107,860)
Citation 7

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9.

A Yen is Not a Yen: Tibor/Libor and the Determinants of the 'Japan Premium'

Number of pages: 31 Posted: 05 Nov 2001
Vicentiu Covrig, Buen Sin Low, Michael Melvin and Michael Melvin
California State University, Northridge - Department of Finance, Financial Planning and Insurance, Nanyang Business School, Nanyang Technological University and CESifo (Center for Economic Studies and Ifo Institute)University of California, San Diego (UCSD) - Rady School of Management
Downloads 332 (128,214)
Citation 4

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Japan premium, TIBOR, LIBOR, Credit risk, Japanese Bank, credit spread, credit downgrades, credit upgrades, Euroyen

10.

Retaining Alpha: The Effect of Trade Size and Rebalancing Frequency on FX Strategy Returns

CESifo Working Paper No. 8143
Number of pages: 49 Posted: 11 Mar 2020
Michael Melvin, Michael Melvin, Wenqiang Pan and Petra Wikstrom
CESifo (Center for Economic Studies and Ifo Institute)University of California, San Diego (UCSD) - Rady School of Management, Columbia University - Columbia Business School and Streamline Analytix LLC
Downloads 325 (131,530)
Citation 2

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transaction costs, FX microstructure, exchange rates, portfolio construction

11.

Why Has FX Trading Surged? Explaining the 2004 Triennial Survey

BIS Quarterly Review, December 2004
Number of pages: 8 Posted: 15 May 2012 Last Revised: 29 Sep 2013
Gabriele Galati, Michael Melvin and Michael Melvin
De Nederlandsche Bank and CESifo (Center for Economic Studies and Ifo Institute)University of California, San Diego (UCSD) - Rady School of Management
Downloads 289 (148,241)
Citation 1

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12.

Asymmetric Information and Price Discovery in the FX Market: Does Tokyo Know More About the Yen?

Arizona State University Working Paper No. 98/1
Number of pages: 35 Posted: 19 Feb 1999
Vicentiu Covrig, Michael Melvin and Michael Melvin
California State University, Northridge - Department of Finance, Financial Planning and Insurance and CESifo (Center for Economic Studies and Ifo Institute)University of California, San Diego (UCSD) - Rady School of Management
Downloads 256 (167,465)
Citation 7

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13.

The Role of U.S. Trading in Pricing Internationally Cross-Listed Stocks

Number of pages: 46 Posted: 22 Jul 2004
Joachim Grammig, Christian Schlag, Michael Melvin and Michael Melvin
University of Tuebingen, Goethe University Frankfurt and CESifo (Center for Economic Studies and Ifo Institute)University of California, San Diego (UCSD) - Rady School of Management
Downloads 243 (176,054)
Citation 12

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Automating Exchange Rate Target Zones: Intervention Via an Electronic Limit Order Book

CESifo Working Paper Series No. 2221
Number of pages: 48 Posted: 19 Feb 2008
Michael Melvin, Michael Melvin, Lukas Menkhoff and Maik Schmeling
CESifo (Center for Economic Studies and Ifo Institute)University of California, San Diego (UCSD) - Rady School of Management, German Institute for Economic Research (DIW Berlin) and Goethe University Frankfurt - Department of Finance
Downloads 114 (333,556)

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foreign exchange, microstructure, intervention, exchange rate

Exchange Rate Management in Emerging Markets: Intervention via an Electronic Limit Order Book

CESifo Working Paper Series No. 2656
Number of pages: 52 Posted: 27 May 2009
Michael Melvin, Michael Melvin, Lukas Menkhoff and Maik Schmeling
CESifo (Center for Economic Studies and Ifo Institute)University of California, San Diego (UCSD) - Rady School of Management, German Institute for Economic Research (DIW Berlin) and Goethe University Frankfurt - Department of Finance
Downloads 106 (351,098)
Citation 2

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exchange rates, intervention, microstructure

15.

The Political Economy of Japan?S Big Bang

Arizona State University Working Paper No. 99/8
Number of pages: 31 Posted: 13 Jan 2000
Takatoshi Ito, Michael Melvin and Michael Melvin
University of Tokyo - Faculty of Economics and CESifo (Center for Economic Studies and Ifo Institute)University of California, San Diego (UCSD) - Rady School of Management
Downloads 220 (193,634)

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The Dark Side of International Cross-Listing: Effects on Rival Firms at Home

CESifo Working Paper No. 2174
Number of pages: 46 Posted: 07 Jan 2008
Michael Melvin, Michael Melvin and Magali Valero
CESifo (Center for Economic Studies and Ifo Institute)University of California, San Diego (UCSD) - Rady School of Management and University of MIchigan at Dearborn
Downloads 194 (217,310)

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cross-listings, rival firms, growth opportunities

The Dark Side of International Cross-Listing: Effects on Rival Firms at Home

European Financial Management, Vol. 15, No. 1, pp. 66-91, January 2009
Number of pages: 26 Posted: 02 Jan 2009
Michael Melvin, Michael Melvin and Magali Valero
CESifo (Center for Economic Studies and Ifo Institute)University of California, San Diego (UCSD) - Rady School of Management and University of MIchigan at Dearborn
Downloads 3 (899,256)
Citation 1

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17.

Bank of England Interest Rate Announcements and the Foreign Exchange Market

CESifo Working Paper Series No. 2613
Number of pages: 60 Posted: 20 Apr 2009
Michael Melvin, Michael Melvin, Christian Saborowski, Michael Sager and Mark P. Taylor
CESifo (Center for Economic Studies and Ifo Institute)University of California, San Diego (UCSD) - Rady School of Management, International Monetary Fund (IMF), affiliation not provided to SSRN and Barclays - Barclays Global Investors (London)
Downloads 177 (235,277)
Citation 1

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foreign exchange market, microstructure, monetary policy announcements, Markov switching, endogenous probabilities

18.

Information, the Type of Informed Trader, and the Convergence of Price to Equilibrium

Number of pages: 44 Posted: 08 Mar 2006
Michael Melvin, Michael Melvin and James E. Eaves
CESifo (Center for Economic Studies and Ifo Institute)University of California, San Diego (UCSD) - Rady School of Management and University of California, Davis
Downloads 91 (384,583)

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microstructure, price discovery, private information, auctions

19.

Chinese Exchange Rate Policy: Lessons for Global Investors

CESifo Working Paper No. 8493
Number of pages: 37 Posted: 18 Aug 2020
Michael Melvin, Michael Melvin and Frank Westermann
CESifo (Center for Economic Studies and Ifo Institute)University of California, San Diego (UCSD) - Rady School of Management and Universität Osnabrück - Institute of Empirical Economic Research
Downloads 73 (437,094)

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20.

Japan's Big Bang and the Transformation of Financial Markets

NBER Working Paper No. w7247
Number of pages: 27 Posted: 28 Apr 2000 Last Revised: 22 Apr 2022
Takatoshi Ito, Michael Melvin and Michael Melvin
University of Tokyo - Faculty of Economics and CESifo (Center for Economic Studies and Ifo Institute)University of California, San Diego (UCSD) - Rady School of Management
Downloads 50 (524,421)

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Is There Private Information in the FX Market? The Tokyo Experiment

NBER Working Paper No. w5936
Number of pages: 29 Posted: 20 Sep 2000 Last Revised: 23 Mar 2022
Takatoshi Ito, Richard K. Lyons, Michael Melvin and Michael Melvin
University of Tokyo - Faculty of Economics, University of California, Berkeley and CESifo (Center for Economic Studies and Ifo Institute)University of California, San Diego (UCSD) - Rady School of Management
Downloads 48 (543,245)
Citation 4

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Is There Private Information in the FX Market? The Tokyo Experiment

JOURNAL OF FINANCE
Posted: 11 Sep 1997
Richard K. Lyons, Takatoshi Ito, Michael Melvin and Michael Melvin
University of California, Berkeley, University of Tokyo - Faculty of Economics and CESifo (Center for Economic Studies and Ifo Institute)University of California, San Diego (UCSD) - Rady School of Management

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22.

Information, Announcement, and Listing Effects of ADR Programs and German-U.S. Stock Market Integration

Multinational Finance Journal, Vol. 4, No. 3/4, p. 181-200, 2000
Number of pages: 20 Posted: 08 Jul 2015
Michael G. Hertzel, Paul Lowengrub, Michael Melvin and Michael Melvin
Arizona State University (ASU) - Finance Department, Nathan Associates and CESifo (Center for Economic Studies and Ifo Institute)University of California, San Diego (UCSD) - Rady School of Management
Downloads 22 (686,251)

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ADRs, international cross-listing, international equity markets, German stocks

23.

Active Currency Investing and Performance Benchmarks

CESifo Working Paper Series No. 3052, https://doi.org/10.3905/jpm.2011.37.2.046
Posted: 21 May 2019
Michael Melvin, Michael Melvin and Duncan D. Shand
CESifo (Center for Economic Studies and Ifo Institute)University of California, San Diego (UCSD) - Rady School of Management and BlackRock, Inc

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currency investing, performance benchmarks, carry, momentum, purchasing power parity

24.

Public Information Arrival, Exchange Rate Volatility, and Quote Frequency

Posted: 01 Oct 2000
Michael Melvin, Michael Melvin and Xixi Yin
CESifo (Center for Economic Studies and Ifo Institute)University of California, San Diego (UCSD) - Rady School of Management and American Express Company

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