Does PIN affect equity prices around the world?
Journal
Journal of Financial Economics
Journal Volume
114
Journal Issue
1
Pages
178
Date Issued
2014-01-01
Author(s)
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.
Subjects
Asset pricing | Information risk | International markets | PIN
Publisher
ELSEVIER SCIENCE SA
Type
journal article