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Article: Does PIN Affect Equity Prices around the World?

TitleDoes PIN Affect Equity Prices around the World?
Authors
Issue Date2014
PublisherElsevier.
Citation
Journal of Financial Economics, 2014, v. 114, p. 178-195 How to Cite?
AbstractThis study examines the empirical controversy over the pricing effect of the Easley, Hvidkjaer, and O׳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׳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.
Persistent Identifierhttp://hdl.handle.net/10722/203535
SSRN

 

DC FieldValueLanguage
dc.contributor.authorLai, SCSen_US
dc.date.accessioned2014-09-19T15:25:46Z-
dc.date.available2014-09-19T15:25:46Z-
dc.date.issued2014en_US
dc.identifier.citationJournal of Financial Economics, 2014, v. 114, p. 178-195en_US
dc.identifier.urihttp://hdl.handle.net/10722/203535-
dc.description.abstractThis study examines the empirical controversy over the pricing effect of the Easley, Hvidkjaer, and O׳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׳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.en_US
dc.languageengen_US
dc.publisherElsevier.en_US
dc.relation.ispartofJournal of Financial Economics-
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.rightsNOTICE: this is the author’s version of a work that was accepted for publication in <Journal of Financial Economics>. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in PUBLICATION, [VOL 114, ISSUE 1, (2014)] DOI 10.1016/j.jfineco.2014.06.005-
dc.titleDoes PIN Affect Equity Prices around the World?en_US
dc.typeArticleen_US
dc.identifier.emailLai, SCS: sandy_lai@hku.hken_US
dc.identifier.authorityLai, SCS=rp01620en_US
dc.description.naturepostprint-
dc.identifier.doi10.1016/j.jfineco.2014.06.005-
dc.identifier.hkuros239002en_US
dc.identifier.hkuros234114-
dc.identifier.volume114en_US
dc.identifier.spage178en_US
dc.identifier.epage195en_US
dc.publisher.placeUnited Statesen_US
dc.identifier.ssrn2207579-

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