کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
961078 | 929779 | 2007 | 22 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Estimating the probability of informed trading-does trade misclassification matter?
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
Easley et al. [1996. Journal of Finance 51, 1405-1436] have proposed an empirical methodology to estimate the probability of informed trading (PIN). This approach has been employed in a wide range of applications in market microstructure, corporate finance, and asset pricing. To estimate the model, a researcher only needs the number of buyer- and seller-initiated trades. This information, however, is generally unobservable and has to be inferred from trade-classification algorithms, which are known to be inaccurate. In this paper, we show analytically that inaccurate trade classification leads to downward-biased PIN estimates and that the magnitude of the bias is related to a security's trading intensity. Simulation results and empirical evidence based on order and transaction data from the New York Stock Exchange are consistent with this argument. We propose a data-based adjustment procedure that substantially reduces the misclassification bias.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Markets - Volume 10, Issue 1, February 2007, Pages 26-47
Journal: Journal of Financial Markets - Volume 10, Issue 1, February 2007, Pages 26-47
نویسندگان
Ekkehart Boehmer, Joachim Grammig, Erik Theissen,