Testing the Pin Variable
22 Pages Posted: 28 Sep 2006
Date Written: February 17, 2007
This paper puts the PIN variable (Probability of INformation-based trading) to test. We find that for a large set of stocks, the PIN variable is lower (albeit insignificantly) in the periods before earnings announcements dates than in the periods after earnings announcements dates. This is inconsistent with the idea of PIN capturing the probability of informed trading.
Keywords: PIN, informed trading, earnings announcement dates
JEL Classification: G14, G19
Suggested Citation: Suggested Citation