Does PIN affect equity prices around the world?

被引：78

作者：

Lai, Sandy ^{[1
]}

Ng, Lilian ^{[2
]}

Zhang, Bohui ^{[3
]}

机构：

[1] Univ Hong Kong, Hong Kong, Hong Kong, Peoples R China

[2] Univ Wisconsin, Milwaukee, WI 53201 USA

[3] UNSW Australia, Sydney, NSW, Australia

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2014年 / 114卷 / 01期

基金：

澳大利亚研究理事会; 中国国家自然科学基金;

关键词：

International markets; Information risk; PIN; Asset pricing; INFORMATION ASYMMETRY; CROSS-SECTION; STOCK RETURNS; LIQUIDITY; COST; MARKETS; RISK; TRADE; NYSE;

D O I：

10.1016/j.jfineco.2014.06.005

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This 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. (C) 2014 Elsevier B.V. All rights reserved.

引用

页码：178 / 195

页数：18

共 33 条

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