Estimating PIN for firms with high levels of trading
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DOI: 10.1016/j.jempfin.2013.10.001
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References listed on IDEAS
- Duarte, Jefferson & Young, Lance, 2009. "Why is PIN priced?," Journal of Financial Economics, Elsevier, vol. 91(2), pages 119-138, February.
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- Yan, Yuxing & Zhang, Shaojun, 2012. "An improved estimation method and empirical properties of the probability of informed trading," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 454-467.
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Cited by:
- Kitamura, Yoshihiro, 2016. "The probability of informed trading measured with price impact, price reversal, and volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 42(C), pages 77-90.
- Ersan, Oguz & Alıcı, Aslı, 2016. "An unbiased computation methodology for estimating the probability of informed trading (PIN)," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 74-94.
- Griffin, Jim & Oberoi, Jaideep & Oduro, Samuel D., 2021. "Estimating the probability of informed trading: A Bayesian approach," Journal of Banking & Finance, Elsevier, vol. 125(C).
- Thomas Pöppe & Michael Aitken & Dirk Schiereck & Ingo Wiegand, 2016. "A PIN per day shows what news convey: the intraday probability of informed trading," Review of Quantitative Finance and Accounting, Springer, vol. 47(4), pages 1187-1220, November.
- Ke, Wen-Chyan & Chen, Hueiling & Lin, Hsiou-Wei William, 2019. "A note of techniques that mitigate floating-point errors in PIN estimation," Finance Research Letters, Elsevier, vol. 31(C).
- Hua, Renhai & Liu, Qingfu & Tse, Yiuman, 2016. "Extended trading in Chinese index markets: Informed or uninformed?," Pacific-Basin Finance Journal, Elsevier, vol. 36(C), pages 112-122.
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More about this item
Keywords
Asymmetric information; PIN; Event studies; Maximum likelihood;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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