کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
958283 928975 2011 20 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The characteristics of informed trading: Implications for asset pricing
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
The characteristics of informed trading: Implications for asset pricing
چکیده انگلیسی

This paper investigates the linkage of microstructure, accounting, and asset pricing. We determine the relationship between firm characteristics as captured by accounting and market data and a firm's probability of private information-based trade (PIN) as estimated from trade data. This allows us to determine what types of firms have high information risk. We then use these data to create an instrument for PIN, the PPIN, which we can estimate from firm-specific data. We show that PPINs have explanatory power for the cross-section of asset returns in long sample tests. We also investigate whether information risk vitiates the influence of other variables on asset returns. We develop a PPIN factor and show that it dominates the Amihud factor in asset returns. Our results provide strong support for information risk affecting asset returns in long sample tests.


► We determine the cross-sectional relationship of PIN with accounting and market data.
► We use these results to create a proxy for PIN, or PPIN.
► Using PPIN over an extended time span, we test for the pricing of information risk.
► The results provide strong support that information risk is priced.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 18, Issue 5, December 2011, Pages 782–801
نویسندگان
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