Does PIN Affect Equity Prices Around the World?
Forthcoming Journal of Financial Economics
European Finance Association (EFA), EFA 2009 Bergen Meetings
39 Pages Posted: 30 Jan 2013 Last revised: 21 Dec 2013
There are 2 versions of this paper
Does PIN Affect Equity Prices Around the World?
Does PIN Affect Equity Prices Around the World?
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: Suggested Citation