https://scholars.lib.ntu.edu.tw/handle/123456789/414542| Title: | Does PIN affect equity prices around the world? | Authors: | Sandy LAI Ng, Lilian Zhang, Bohui |
Keywords: | Asset pricing | Information risk | International markets | PIN | Issue Date: | 1-Jan-2014 | Publisher: | ELSEVIER SCIENCE SA | Journal Volume: | 114 | Journal Issue: | 1 | Start page/Pages: | 178 | Source: | Journal of Financial Economics | Abstract: | © 2014 Elsevier B.V. This study examines the empirical controversy over the pricing effect of the Easley, Hvidkjaer, and O[U+05F3]Hara (2002) probability of information-based trading, PIN, on a sample of 30,095 firms from 47 countries worldwide. Contrary to the empirical evidence of Easley, Hvidkjaer, and O[U+05F3]Hara, but consistent with that of Duarte and Young (2009), we do not find that PIN exhibits a positive effect on a cross section of expected stock returns in international markets. Alternative information-based trading measures also display no effect on expected stock returns, corroborating our finding that information risk proxied by PIN, in general, has no pricing effect in world markets. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414542 | ISSN: | 0304405X | DOI: | https://api.elsevier.com/content/abstract/scopus_id/84921361847 10.1016/j.jfineco.2014.06.005 |
| Appears in Collections: | 財務金融學系 |
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