재무연구 제 권 호 (2014년 5월)
Asian Review of Financial Research, Vol., No..
pp.910~973
pp.910~973
Informed Trading and the Pricing of Good and Bad Private Information in the Cross-Section of Expected Stock Returns
Michael J. Brennan The Anderson School, University of California at Los Angeles, Los Angeles, CA 90095- 1481; King Abdulaziz University, Jeddah, Saudi Arabia; and Manchester Business School, The University of Manchester.
Sahn-Wook Huh School of Management, University (SUNY) at Buffalo, Buffalo, NY
Avanidhar Subrahmanyam The Anderson School, University of California at Los Angeles, Los Angeles, CA
We decompose PIN, the Probability of Informed Trading, into components that capture informed trading on good news (PIN G) and on bad news (PIN B), and provide new evidence that PIN and its components capture informed trading around quarterly earnings announcements. Our principal result concerns asymmetry in the pricing of the two PIN components: we find that the return premium for PIN B is large and highly significant, while that for PIN G is much smaller and is statistically insignificant.
Michael J. Brennan
Sahn-Wook Huh
Avanidhar Subrahmanyam
We decompose PIN, the Probability of Informed Trading, into components that capture informed trading on good news (PIN G) and on bad news (PIN B), and provide new evidence that PIN and its components capture informed trading around quarterly earnings announcements. Our principal result concerns asymmetry in the pricing of the two PIN components: we find that the return premium for PIN B is large and highly significant, while that for PIN G is much smaller and is statistically insignificant.
Probability of Informed Trading (PIN),Decomposition of PIN,Good-News PIN,Bad-News PIN,CAR,SUE,Determinants of the PIN-Related Measures,Asset Pricing
