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Does PIN affect equity prices around the world?

Author

Listed:
  • Lai, Sandy
  • Ng, Lilian
  • Zhang, Bohui

Abstract

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.

Suggested Citation

  • Lai, Sandy & Ng, Lilian & Zhang, Bohui, 2014. "Does PIN affect equity prices around the world?," Journal of Financial Economics, Elsevier, vol. 114(1), pages 178-195.
    • Handle: RePEc:eee:jfinec:v:114:y:2014:i:1:p:178-195
    DOI: 10.1016/j.jfineco.2014.06.005
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    References listed on IDEAS

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    More about this item

    Keywords

    International markets; Information risk; PIN; Asset pricing;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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    1. Does PIN affect equity prices around the world? (JFE 2014) in ReplicationWiki

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