|Title:||Does PIN affect equity prices around the world?||Authors:||Sandy LAI
|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.
|Appears in Collections:||財務金融學系|
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