Article ID Journal Published Year Pages File Type
5089861 Journal of Banking & Finance 2012 15 Pages PDF
Abstract
► Trading strategies based on uncertainty work well when limited to high-PIN stocks. ► Stocks with low-PIN have no price momentum even their uncertainty level is high. ► Momentum returns exist for high-PIN stocks irrespective of information uncertainty.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Informed trading, information uncertainty, and price momentum
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