Testing the Pin Variable

22 Pages Posted: 28 Sep 2006

See all articles by Evangelos Benos

Evangelos Benos

University of Illinois at Urbana-Champaign

Marek Jochec

Graduate School of Business, Nazarbayev University

Date Written: February 17, 2007

Abstract

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

Benos, Evangelos and Jochec, Marek, Testing the Pin Variable (February 17, 2007). Available at SSRN: https://ssrn.com/abstract=933211 or http://dx.doi.org/10.2139/ssrn.933211

Evangelos Benos

University of Illinois at Urbana-Champaign ( email )

601 E John St
Champaign, IL 61820
United States

Marek Jochec (Contact Author)

Graduate School of Business, Nazarbayev University ( email )

53 Kabanbay Batyra Avenue
Astana, 010000
Kazakhstan

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