Does PIN Affect Equity Prices Around the World?

39 Pages Posted: 23 Dec 2008 Last revised: 10 Oct 2014

See all articles by Sandy Lai

Sandy Lai

University of Hong Kong

Lilian Ng

Schulich School of Business, York University; European Corporate Governance Institute (ECGI)

Bohui Zhang

The Chinese University of Hong Kong, Shenzhen

Multiple version iconThere are 2 versions of this paper

Date Written: August 29, 2013

Abstract

This study examines the empirical controversy over the pricing effect of Easley, Hvidkjaer, and O'Hara's (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 find no evidence 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.

Keywords: International Markets, Information Asymmetry, PIN, Asset Pricing

JEL Classification: G11, G12, G23

Suggested Citation

Lai, Sandy and Ng, Lilian and Zhang, Bohui, Does PIN Affect Equity Prices Around the World? (August 29, 2013). Journal of Financial Economics (JFE), Forthcoming, EFA 2009 Bergen Meetings Paper, Available at SSRN: https://ssrn.com/abstract=1319668 or http://dx.doi.org/10.2139/ssrn.1319668

Sandy Lai

University of Hong Kong ( email )

Faculty of Business and Economics
K.K. Leung Building, Pokfulam Road
Hong Kong, Pokfulam HK
Hong Kong

Lilian Ng

Schulich School of Business, York University ( email )

N223, Seymour Schulich Building
4700 Keele Street
Toronto, Ontario ON M3J 1P3
Canada
+1.416.736.2100 x77994 (Phone)

European Corporate Governance Institute (ECGI) ( email )

c/o the Royal Academies of Belgium
Rue Ducale 1 Hertogsstraat
1000 Brussels
Belgium

Bohui Zhang (Contact Author)

The Chinese University of Hong Kong, Shenzhen ( email )

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