|
Based on your IP address, your paper is being delivered by:
|
 |
 |
 |
 |
 |
New York, USA
Processing request.
|
Illinois, USA
Processing request.
|
Brussels, Belgium
Processing request.
|
Seoul, Korea
Processing request.
|
California, USA
Processing request.
|
If you have any problems downloading this paper,
please click on another Download Location above, or
File name: SSRN-id777665. ; Size: 195K
|
|
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
working papers series
Download This Paper
Date posted: June 23, 2004
Suggested CitationEasley, David, 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
|
| Feedback to SSRN (Beta) |
|
|
People who downloaded this paper also downloaded:
1.
Flow Toxicity and Liquidity in a High Frequency World
By
David Easley,
Marcos Lopez De Prado, ...
2.
Is Information Risk a Determinant of Asset Returns?
By
David Easley,
Soeren Hvidkjaer, ...
3.
Information and the Cost of Capital
By
Maureen O'hara
and
David Easley
4.
The Exchange of Flow Toxicity
By
David Easley,
Marcos Lopez De Prado, ...
5.
The Microstructure of the ‘Flash Crash’: Flow Toxicity, Liquidity Crashes and the Probability of Informed Trading
By
David Easley,
Marcos Lopez De Prado, ...
6.
Exercises in Advanced Risk and Portfolio Management - With Step-by-Step Solutions and Fully Documented Code
By
Attilio Meucci
7.
Factoring as a Financing Option: Evidence from the UK
By
Khaled Soufani
8.
Liquidity and Valuation in an Uncertain World
By
David Easley
and
Maureen O'hara
9.
Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck
By
Attilio Meucci
10.
The Capital Asset Pricing Model: Some Empirical Tests
By
Michael Jensen,
Fischer Black, ...
|
|
|
|
