Does PIN Affect Equity Prices Around the World?

39 Pages Posted: 30 Jan 2013 Last revised: 23 Dec 2013

See all articles by Sandy Lai

Sandy Lai

University of Hong Kong

Lilian K. Ng

York University - Schulich School of Business

Bohui Zhang

The Chinese University of Hong Kong, Shenzhen

Multiple version iconThere are 2 versions of this paper

Date Written: December 21, 2013

Abstract

This study examines the empirical controversy over the pricing effect of Easley, Hvidkjaer, and O'Hara's (2002) probability of information-based trading, PIN, on a sample of 30,095 firms from 47 countries worldwide. Contrary to the empirical evidence of Easley, Hvidkjaer, and O'Hara, but consistent with that of Duarte and Young (2009), we find no evidence that PIN exhibits a positive effect on a cross-section of expected stock returns in international markets. Alternative information-based trading measures also display no effect on expected stock returns, corroborating our finding that information risk proxied by PIN, in general, has no pricing effect in world markets.

Keywords: International Markets, Information Asymmetry, PIN, Asset Pricing

JEL Classification: G11, G12, G23

Suggested Citation

Lai, Sandy and Ng, Lilian K. and Zhang, Bohui, Does PIN Affect Equity Prices Around the World? (December 21, 2013). Forthcoming Journal of Financial Economics; European Finance Association (EFA), EFA 2009 Bergen Meetings . Available at SSRN: https://ssrn.com/abstract=2207579 or http://dx.doi.org/10.2139/ssrn.2207579

Sandy Lai

University of Hong Kong ( email )

Faculty of Business and Economics
K.K. Leung Building, Pokfulam Road
Hong Kong, Pokfulam HK
Hong Kong

Lilian K. Ng

York University - Schulich School of Business ( email )

4700 Keele Street
Toronto, Ontario M3J 1P3
Canada

Bohui Zhang (Contact Author)

The Chinese University of Hong Kong, Shenzhen ( email )

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