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Journal of Financial Economics Vol. 135 No. 3 2020

A comparison of some structural models of private information arrival

Jefferson Duarte1; Edwin Hu2,3,4; Lance A. Young5

1 Rice University · 2 United States Securities and Exchange Commission · 3 New York Law School · 4 New York University · 5 University of Washington

Abstract

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.

DOI
10.1016/j.jfineco.2019.08.005
Volume
135
Issue
3
Pages
795-815
Language
en
Sources
bibtex:phds-export.bib openalex crossref

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