Does PIN affect equity prices around the world?

• 成果类型: Article
• 署名作者: Lai, Sandy; Ng, Lilian; Zhang, Bohui
• 署名单位: University of Hong Kong; University of Wisconsin System; University of Wisconsin Milwaukee; University of New South Wales Sydney
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2014.06.005
• 发表日期: 2014
• 页码: 178-195
• 关键词: International markets; Information risk; pin; asset pricing

摘要

This study examines the empirical controversy over the pricing effect of the Easley, Hvidkjaer, and O'Hara (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 do not find 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. (C) 2014 Elsevier B.V. All rights reserved.