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A comparison of some structural models of private information arrival

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  • Duarte, Jefferson
  • Hu, Edwin
  • Young, Lance

Abstract

We show that the PIN and the Duarte and Young (2009) (APIN) models do not match the variability of noise trade in the data and that this limitation has severe implications for how these models identify private information. We examine two alternatives to these models, the Generalized PIN model (GPIN) and the Odders-White and Ready (2008) model (OWR). Our tests indicate that measures of private information based on the OWR and GPIN models are promising alternatives to the APIN’s Adj.PIN and PIN.

Suggested Citation

  • Duarte, Jefferson & Hu, Edwin & Young, Lance, 2020. "A comparison of some structural models of private information arrival," Journal of Financial Economics, Elsevier, vol. 135(3), pages 795-815.
    • Handle: RePEc:eee:jfinec:v:135:y:2020:i:3:p:795-815
    DOI: 10.1016/j.jfineco.2019.08.005
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    More about this item

    Keywords

    Liquidity; Information asymmetry;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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