کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
960257 | 929427 | 2014 | 18 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Does PIN affect equity prices around the world?
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
حسابداری
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چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 114, Issue 1, October 2014, Pages 178–195
Journal: Journal of Financial Economics - Volume 114, Issue 1, October 2014, Pages 178–195
نویسندگان
Sandy Lai, Lilian Ng, Bohui Zhang,