| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5089729 | Journal of Banking & Finance | 2012 | 14 Pages |
Abstract
⺠We develop an algorithm to overcome the estimation bias caused by boundary solutions. ⺠We estimate PIN for nearly 80,000 stock-quarters between 1993 and 2004. ⺠We study the methods in Easley et al. (2010) and Lin and Ke (LK, 2011). ⺠Boundary solutions appear with a very high frequency when the LK method is used. ⺠We document several interesting empirical properties of PIN.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Yuxing Yan, Shaojun Zhang,