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사적 정보 측정치 PIN, AdjPIN, OWR의 적절성 비교 : 상장기업 합병 공시를 중심으로

  • 박종호 국립순천대학교 경영학과 교수
  • 엄경식 CRMR at UC Berkeley 연구원
본 논문은 Duarte, Hu, and Young(2015, 2017)의 “정보 도달 조건부 확률(CPIE)”을 유가증권시장의 합병 공시 사건에 적용하여 그동안 사적 정보 측정치로 널리 사용되어온 PIN, AdjPIN, OWR의 타당성을 검증?파악한다. 최근 8년여 TAQ 자료로 분석한 결과 첫째, PIN/AdjPIN 모형은 모수 추정 시 수치 과팽창 문제로 CPIE가 최소 81% 이상 0 또는 1 경계값에서 추정된다. 둘째, 세 모형 모두 CPIE는 합병 공시일 이후 5~6 거래일 동안 지속해 높기는 하지만, 공시일 이전보다는 작은 크기로 완만히 하락한다. 셋째, PIN 모형은 주문흐름 불균형과 거래회전율이, AdjPIN 모형은 거래회전율이, OWR 모형은 주로 야간 및 주간수익률이 CPIE 결정요인으로 나타나, OWR 모형만이 이론적 근거와 일치한 정보를 반영한다. 이상을 종합하면, 유가증권시장에서는 OWR 모형만이 사적 정보 측정치로서 일정 수준 유용하다.
PIN; AdjPIN; OWR; 사적 정보 측정치; 정보 도달 조건부 확률(CPIE);PIN; AdjPIN; OWR; Measures of Private Information; Conditional Probability of an Information Event (CPIE)

The Validity of Measures of Private Information (PIN, AdjPIN, and OWR) : Evidence from M&A Announcements in the KOSPI Market

  • Jong-Ho Park
  • Kyong Shik Eom
If we can estimate the level of private information that has flowed into the capital market as a statistic, it can be very useful in many related fields. The first example is the probability of information-based trading (PIN) of Easley and O’Hara (1987). However, the structural model, PIN, has been criticized since the mid 2000s for not reflecting the data characteristics of the stock market, which has been turned into a surge of high frequency trading (HFT). Then, Duarte and Young (2009) proposed a modified PIN model, which extends the PIN model to overcome its shortcomings, and Odders-White and Ready (2008) suggested a model which is based on a fully different theoretical approach. This paper examines the validity of PIN, adjusted PIN (AdjPIN), and Odders-White and Ready (OWR), which have been extensively used as private information measures, in the Korean stock market. Applying them to the information asymmetry situation of the securities market before and after the merger announcement, we verify whether the estimates of these models are appropriate as private information measures. For this, we use the “Conditional Probability of an Information Event (CPIE)” of Duarte, Hu, and Young (2015, 2017). CPIE is estimated by model to enable to judge whether the private information reaches the market on a daily basis. The analyses in this paper include 29 cases of merger disclosures for the targeted companies listed on the KOSPI Market over an eight-and-a-half year period (2007. 5~2015. 10). We employ regression analysis, comparison between CPIE and its expected value, and the CPIE determinants analysis using the TAQ data for a total of 340 trading days before and after each event. As a result, only the OWR model among the three models appears to be useful as a measure of private information in the Korean securities market. Although there are differences in detail, this is essentially the same result as the US stock market. It suggests that in the Korea stock market, the OWR model based on orderflow imbalance, and day and over-night returns, is more appropriate as a measure of private information, rather than the PIN / AdjPIN model. The more detailed results are as follows. First, as a result of CPIE determinants analysis, the PIN-model-based CPIE is affected mostly by trade turnover and somewhat by order imbalance, while the AdjPIN-model-based CPIE is affected by trade turnover. Accordingly, the PIN/AdjPIN models are affected mainly by trade turnover, rather than order imbalance, on which they are theoretically based. On the other hand, most of the explanatory power of the OWR-model-based CPIE comes from over-night and intraday returns. The OWR-model-based CPIE reflects information consistent with its theoretical rationale, although it contrasts somewhat with the U.S. stock market, which is much more affected by either overnight return (in regression analysis) or intra-day return (in the comparison analysis between CPIE and its predicted value). Second, the PIN-/AdjPINmodel- based CPIEs are estimated at the boundary values 0 or 1 at least 81% of the time due to numerical overflow problems in the parameter estimation. This makes PIN or AdjPIN measurements more difficult to trust, even if the models are valid. Third, in all three models, the CPIE persists for up to 5~6 trading days after the announcement of the merger. However, after the announcement, the pattern shows a gradual decline to a lower level than before the announcement. Also, in all three models, the CPIE peaks one day after the announcement, rather than on the day of the announcement. This reflects a degree of inefficiency in the Korean stock market. Altogether, these results suggest that, among the PIN, AdjPIN, and OWR models, the OWR model best reflects the private information flow in the Korean stock market. In other words, they suggest that the OWR model based on order flow imbalance, over-night return, and intraday return, rather than the PIN/AjdPIN models based on order flow imbalance, is more appropriate as a measure of private information. The results on the Korean stock market are essentially the same as those of the U.S. stock market, though there are differences in detail, such as the relative importance of overnight and intraday returns.