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- Publisher Website: 10.1016/j.jfineco.2014.06.005
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Article: Does PIN Affect Equity Prices around the World?
Title | Does PIN Affect Equity Prices around the World? |
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Authors | |
Keywords | Asset pricing Information risk International markets PIN |
Issue Date | 2014 |
Publisher | Elsevier. |
Citation | Journal of Financial Economics, 2014, v. 114, p. 178-195 How to Cite? |
Abstract | 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. |
Persistent Identifier | http://hdl.handle.net/10722/203535 |
SSRN | |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Lai, SCS | en_US |
dc.date.accessioned | 2014-09-19T15:25:46Z | - |
dc.date.available | 2014-09-19T15:25:46Z | - |
dc.date.issued | 2014 | en_US |
dc.identifier.citation | Journal of Financial Economics, 2014, v. 114, p. 178-195 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/203535 | - |
dc.description.abstract | 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. | en_US |
dc.language | eng | en_US |
dc.publisher | Elsevier. | en_US |
dc.relation.ispartof | Journal of Financial Economics | - |
dc.rights | This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License. | - |
dc.rights | NOTICE: 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.subject | Asset pricing | - |
dc.subject | Information risk | - |
dc.subject | International markets | - |
dc.subject | PIN | - |
dc.title | Does PIN Affect Equity Prices around the World? | en_US |
dc.type | Article | en_US |
dc.identifier.email | Lai, SCS: sandy_lai@hku.hk | en_US |
dc.identifier.authority | Lai, SCS=rp01620 | en_US |
dc.description.nature | postprint | - |
dc.identifier.doi | 10.1016/j.jfineco.2014.06.005 | - |
dc.identifier.scopus | eid_2-s2.0-84921361847 | - |
dc.identifier.hkuros | 239002 | en_US |
dc.identifier.hkuros | 234114 | - |
dc.identifier.volume | 114 | en_US |
dc.identifier.spage | 178 | en_US |
dc.identifier.epage | 195 | en_US |
dc.identifier.isi | WOS:000342475700009 | - |
dc.publisher.place | United States | en_US |
dc.identifier.ssrn | 2207579 | - |