Is PIN Priced Risk?
University of Toronto - Accounting
Emory University - Goizueta Business School
October, 17 2008
Journal of Accounting & Economics (JAE), Forthcoming
Several recent papers assume that private information (PIN), proposed by Easley, Hvidkjaer and O'Hara (2002, 2004), is a determinant of stock returns. We replicate Easley, Hvidkjaer and O'Hara (2002) and show that while PIN does predict future returns in the sample they analyze, the effect is not robust to alternative specifications and time periods. There is no evidence that PIN factor loadings predict returns or that PIN factor returns reflect future GDP growth. PIN exhibits no association with implied cost of capital derived from analysts' earnings forecasts. Overall, our findings cast doubt on whether PIN reflects information risk systematically priced by investors.
Keywords: Information Risk, PIN, Risk
JEL Classification: G12, G14, G29, D82, M41Accepted Paper Series
Date posted: October 20, 2008
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo7 in 0.265 seconds