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Journal of Financial Economics Vol. 114 No. 1 2014

Does PIN affect equity prices around the world?

Sandy Lai1; Lilian Ng2; Bohui Zhang3

1 University of Hong Kong · 2 University of Wisconsin–Milwaukee · 3 UNSW Sydney

open access

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.

DOI
10.1016/j.jfineco.2014.06.005
Volume
114
Issue
1
Pages
178-195
Language
en
Sources
bibtex:phds-export.bib openalex crossref

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