What does PIN identify? Evidence from the T-bill market

► Empirical methods for PIN identify trading clusters. ► PIN model assumes trading clusters from asymmetric information. ► PIN on one-month T-bills exceeds PIN on equities. ► T-bills prices do not include any economically meaningful asymmetric information. ► PIN model cannot identify the source of the trade clustering. ► This must come from the economics of the market under analysis.