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초록
영어
We decompose PIN, the Probability of Informed Trading, into components that capture informed trading on good news (PIN G) and on bad news (PIN B), and provide new evidence that PIN and its components capture informed trading around quarterly earnings announcements. Our principal result concerns asymmetry in the pricing of the two PIN components: we find that the return premium for PIN B is large and highly significant, while that for PIN G is much smaller and is statistically insignificant.
목차
Abstract
1 Introduction
2 ThePIN Measure and Its Decomposition
3 Data and Estimation
4 Determinants of PIN B, PIN G, and PIN
4.1 Informed Trading Around Earnings Announcements
4.2 Firm-Specific Determinants of PIN and its Components
5 Asset Pricing Tests
5.1 Estimation Procedure
5.2 Data and Control Variables
6 Empirical Results
6.1 Cross-Sectional Regressions
6.2 Portfolio Analyses
7 Robustness Tests
7.1 Weighted Least-Squares Regressions
7.2 With the Sample from the TAQ Period Only
7.3 Excluding the High-Frequency-Trading Years
7.4 Different Trading Regimes
8 Conclusion
Appendix
References
Table
Figure
1 Introduction
2 ThePIN Measure and Its Decomposition
3 Data and Estimation
4 Determinants of PIN B, PIN G, and PIN
4.1 Informed Trading Around Earnings Announcements
4.2 Firm-Specific Determinants of PIN and its Components
5 Asset Pricing Tests
5.1 Estimation Procedure
5.2 Data and Control Variables
6 Empirical Results
6.1 Cross-Sectional Regressions
6.2 Portfolio Analyses
7 Robustness Tests
7.1 Weighted Least-Squares Regressions
7.2 With the Sample from the TAQ Period Only
7.3 Excluding the High-Frequency-Trading Years
7.4 Different Trading Regimes
8 Conclusion
Appendix
References
Table
Figure
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