Abstract

http://ssrn.com/abstract=556079
 
 

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Factoring Information Into Returns


David Easley


Cornell University - Department of Economics

Soeren Hvidkjaer


Copenhagen Business School

Maureen O'Hara


Cornell University - Samuel Curtis Johnson Graduate School of Management

July 27, 2005

EFA 2004 Maastricht Meetings Paper No. 4118

Abstract:     
We examine the potential profits of trading on a measure of private information (PIN) in a stock. A zero-investment portfolio which is size neutral, but long in high PIN stocks and short in low PIN stocks earns a significant abnormal return. The Fama-French and momentum factors do not explain this return. However, significant covariation in returns exists among high PIN stocks and among low PIN stocks, suggesting that PIN might proxy for an underlying factor. We create a PIN factor as the monthly return on the zero-investment portfolio above and show that it has some success in explaining returns to independent PIN-size portfolios.

Number of Pages in PDF File: 27

JEL Classification: G12, M41

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Date posted: June 23, 2004  

Suggested Citation

Easley, David and Hvidkjaer, Soeren and O'Hara, Maureen, Factoring Information Into Returns (July 27, 2005). EFA 2004 Maastricht Meetings Paper No. 4118. Available at SSRN: http://ssrn.com/abstract=556079 or http://dx.doi.org/10.2139/ssrn.556079

Contact Information

David Easley
Cornell University - Department of Economics ( email )
414 Uris Hall
Ithaca, NY 14853-7601
United States
607-255-6283 (Phone)
607-255-2818 (Fax)
Soeren Hvidkjaer (Contact Author)
Copenhagen Business School ( email )
Solbjerg Plads 3
Frederiksberg C, DK - 2000
Denmark
HOME PAGE: http://www.hvidkjaer.net
Maureen O'Hara
Cornell University - Samuel Curtis Johnson Graduate School of Management ( email )
Ithaca, NY 14853
United States
607-255-3645 (Phone)
607-255-5993 (Fax)
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