A comparison of some structural models of private information arrival

• 成果类型: Article
• 署名作者: Duarte, Jefferson; Hu, Edwin; Young, Lance
• 署名单位: Rice University; U.S. Securities & Exchange Commission (SEC); University of Washington; University of Washington Seattle
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2019.08.005
• 发表日期: 2020
• 页码: 795-815
• 关键词: liquidity; information asymmetry

摘要

We show that the PIN and the Duarte and Young (2009) (APIN) models do not match the variability of noise trade in the data and that this limitation has severe implications for how these models identify private information. We examine two alternatives to these models, the Generalized PIN model (GPIN) and the Odders-White and Ready (2008) model (OWR). Our tests indicate that measures of private information based on the OWR and GPIN models are promising alternatives to the APIN's Adj.PIN and PIN. (C) 2019 Elsevier B.V. All rights reserved.