Why is PIN priced?

被引：214

作者：

Duarte, Jefferson ^{[1
]}

Young, Lance ^{[1
]}

机构：

[1] Univ Washington, Foster Sch Business, Seattle, WA 98195 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2009年 / 91卷 / 02期

关键词：

Liquidity; Information asymmetry; LIQUIDITY RISK; INFORMATION ASYMMETRY; STOCK RETURNS; TRADE; MARKETS; COST; EQUILIBRIUM; OPINION; DRIFT;

D O I：

10.1016/j.jfineco.2007.10.008

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Recent empirical work suggests that a proxy for the probability of informed trading (PIN) is an important determinant of the cross-section of average returns. This paper examines whether PIN is priced because of information asymmetry or because of other liquidity effects that are unrelated to information asymmetry. Our starting point is a model that decomposes PIN into two components, one related to asymmetric information and one related to illiquidity. In a two-pass Fama-MacBeth [1973. Risk, return, and equilibrium: empirical tests. Journal of Political Economy 81, 607-636] regression, we show that the PIN component related to asymmetric information is not priced, while the PIN component related to illiquidity is priced. We conclude, therefore, that liquidity effects unrelated to information asymmetry explain the relation between PIN and the cross-section of expected returns. (C) 2008 Elsevier B.V. All rights reserved.

引用

页码：119 / 138

页数：20

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