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Factoring Information into Returns

Citations

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Cited by:

  1. Patrick J. Kelly, 2014. "Information Efficiency and Firm-Specific Return Variation," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 4(04), pages 1-44.
  2. Sun, Yuxin & Ibikunle, Gbenga, 2017. "Informed trading and the price impact of block trades: A high frequency trading analysis," International Review of Financial Analysis, Elsevier, vol. 54(C), pages 114-129.
  3. Zheng Liu & Ning Zhang, 2024. "The productivity effect of digital financial reporting," Review of Accounting Studies, Springer, vol. 29(3), pages 2350-2390, September.
  4. Huang, Alex YiHou, 2012. "Asymmetric dynamics of stock price continuation," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1839-1855.
  5. 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.
  6. Akay, Ozgur (Ozzy) & Cyree, Ken B. & Griffiths, Mark D. & Winters, Drew B., 2012. "What does PIN identify? Evidence from the T-bill market," Journal of Financial Markets, Elsevier, vol. 15(1), pages 29-46.
  7. Hwang, Lee-Seok & Lee, Woo-Jong & Lim, Seung-Yeon & Park, Kyung-Ho, 2013. "Does information risk affect the implied cost of equity capital? An analysis of PIN and adjusted PIN," Journal of Accounting and Economics, Elsevier, vol. 55(2), pages 148-167.
  8. Gordon, Narelle & Watts, Edward & Wu, Qiongbing, 2014. "Information attributes, information asymmetry and industry sector returns," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 156-175.
  9. 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.
  10. Aslan, Hadiye & Easley, David & Hvidkjaer, Soeren & O'Hara, Maureen, 2011. "The characteristics of informed trading: Implications for asset pricing," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 782-801.
  11. Pham, Son Duy & Nguyen, Thao Thac Thanh & Do, Hung Xuan, 2022. "Effect of futures trading on the liquidity of underlying stocks: Evidence from Vietnam," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
  12. Sankaraguruswamy, Srinivasan & Shen, Jianfeng & Yamada, Takeshi, 2013. "The relationship between the frequency of news release and the information asymmetry: The role of uninformed trading," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4134-4143.
  13. Anne Michaels & Michael Grüning, 2017. "Relationship of corporate social responsibility disclosure on information asymmetry and the cost of capital," Journal of Management Control: Zeitschrift für Planung und Unternehmenssteuerung, Springer, vol. 28(3), pages 251-274, October.
  14. Kim, Jinyong & Kim, Yongsik, 2019. "Transitory prices, resiliency, and the cross-section of stock returns," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 243-256.
  15. Pierpaolo Battigalli & Carlo Chiarella & Stefano Gatti & Tommaso Orlando, 2017. "M&A negotiations with limited information: how do opaque firms buy and get bought?," Working Papers 596, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  16. J. Barry Lin & Christos Pantzalis & Jung Chul Park, 2017. "Corporate derivatives use policy and information environment," Review of Quantitative Finance and Accounting, Springer, vol. 49(1), pages 159-194, July.
  17. Aigbe Akhigbe & Anna D. Martin & Melinda L. Newman, 2010. "Information Asymmetry Determinants of Sarbanes‐Oxley Wealth Effects," Financial Management, Financial Management Association International, vol. 39(3), pages 1253-1272, September.
  18. Bardong, Florian & Bartram, Söhnke M. & Yadav, Pradeep K., 2005. "Informed Trading, Information Asymmetry and Pricing of Information Risk: Empirical Evidence from the NYSE," MPRA Paper 13586, University Library of Munich, Germany, revised 10 Oct 2008.
  19. 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).
  20. Jackson, David, 2013. "Estimating PIN for firms with high levels of trading," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 116-120.
  21. 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.
  22. Rjiba, Hatem & Saadi, Samir & Boubaker, Sabri & Ding, Xiaoya (Sara), 2021. "Annual report readability and the cost of equity capital," Journal of Corporate Finance, Elsevier, vol. 67(C).
  23. Agudelo, Diego A. & Giraldo, Santiago & Villarraga, Edwin, 2015. "Does PIN measure information? Informed trading effects on returns and liquidity in six emerging markets," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 149-161.
  24. 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.
  25. Patty Bick & Matthew D. Crook & Andrew A. Lynch & Brian R. Walkup, 2017. "Does Distance Matter In Mergers And Acquisitions?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 40(1), pages 33-54, March.
  26. Tiniç, Murat & Savaser, Tanseli, 2020. "Political turmoil and the impact of foreign orders on equity prices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).
  27. Kang, Moonsoo, 2010. "Probability of information-based trading and the January effect," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2985-2994, December.
  28. Chen, Yifan & Zhao, Huainan, 2012. "Informed trading, information uncertainty, and price momentum," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2095-2109.
  29. Xuguang Sheng & Maya Thevenot, 2013. "Differential Interpretation of Public Information: Estimation and Inference," Working Papers 2013-03, American University, Department of Economics.
  30. Claudio Impenna & Paola Paiardini, 2019. "Informed trading in a two-tier market structure under financial distress," Discussion Papers 19-06, Department of Economics, University of Birmingham.
  31. repec:zbw:bofrdp:2018_001 is not listed on IDEAS
  32. Lof, Matthijs & Bommel, Jos van, 2018. "Asymmetric information and the distribution of trading volume," Research Discussion Papers 1/2018, Bank of Finland.
  33. Schreder, Max, 2018. "Idiosyncratic information and the cost of equity capital: A meta-analytic review of the literature," Journal of Accounting Literature, Elsevier, vol. 41(C), pages 142-172.
  34. Huang, Alex YiHou, 2016. "Impacts of implied volatility on stock price realized jumps," Economic Systems, Elsevier, vol. 40(4), pages 622-630.
  35. Jan Hanousek & František Kopøiva, 2011. "Detecting Information-Driven Trading in a Dealers Market," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(3), pages 204-229, July.
  36. Campbell R. Harvey & Yan Liu & Heqing Zhu, 2014. ". . . and the Cross-Section of Expected Returns," NBER Working Papers 20592, National Bureau of Economic Research, Inc.
  37. Hahn, TeWhan & Ligon, James A. & Rhodes, Heather, 2013. "Liquidity and initial public offering underpricing," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4973-4988.
  38. Lof, Matthijs & van Bommel, Jos, 2023. "Asymmetric information and the distribution of trading volume," Journal of Corporate Finance, Elsevier, vol. 82(C).
  39. Mark Humphery‐Jenner, 2013. "Strong Financial Laws Without Strong Enforcement: Is Good Law Always Better than No Law?," Journal of Empirical Legal Studies, John Wiley & Sons, vol. 10(2), pages 288-324, June.
  40. Florackis, Chris & Gregoriou, Andros & Kostakis, Alexandros, 2011. "Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3335-3350.
  41. Malinova, Katya & Park, Andreas, 2014. "The impact of competition and information on intraday trading," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 55-71.
  42. Chu-Lan Michael Kao & Emily Lin, 2023. "A new PIN model with application of the change-point detection method," Review of Quantitative Finance and Accounting, Springer, vol. 61(4), pages 1513-1528, November.
  43. James J. Choi & Li Jin & Hongjun Yan, 2013. "Informed Trading and Expected Returns," NBER Working Papers 18680, National Bureau of Economic Research, Inc.
  44. Marco Wölfle, 2009. "Information-based trade in Russia and the effects of listing abroad," Economic Change and Restructuring, Springer, vol. 42(4), pages 229-262, November.
  45. Carolyn Sissoko, 2017. "The Plight of Modern Markets: How Universal Banking Undermines Capital Markets," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 46(1), pages 53-104, February.
  46. Jian Wang & Yanhuang Huang & Hongrui Feng & Xingjian Li & Shu Yan, 2023. "CEO incentive compensation and stock price momentum," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(S1), pages 975-1028, April.
  47. Yan, Yuxing & Zhang, Shaojun, 2014. "Quality of PIN estimates and the PIN-return relationship," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 137-149.
  48. Agudelo, Diego A. & Byder, James & Yepes-Henao, Paula, 2019. "Performance and informed trading. Comparing foreigners, institutions and individuals in an emerging stock market," Journal of International Money and Finance, Elsevier, vol. 90(C), pages 187-203.
  49. Gao, Yang & Wang, Yaojun & Wang, Chao & Liu, Chao, 2018. "Internet attention and information asymmetry: Evidence from Qihoo 360 search data on the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 802-811.
  50. Chiang, Thomas C. & Zheng, Dazhi, 2015. "Liquidity and stock returns: Evidence from international markets," Global Finance Journal, Elsevier, vol. 27(C), pages 73-97.
  51. Gao, Wenlian & Zhu, Feifei, 2015. "Information asymmetry and capital structure around the world," Pacific-Basin Finance Journal, Elsevier, vol. 32(C), pages 131-159.
  52. Frijns, Bart & Gilbert, Aaron & Tourani-Rad, Alireza, 2015. "The determinants of price discovery: Evidence from US-Canadian cross-listed shares," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 457-468.
  53. Bardong, Florian & Bartram, Söhnke M. & Yadav, Pradeep K., 2006. "The Effect of Corporate Break-ups on Information Asymmetry: A Market Microstructure Analysis," MPRA Paper 13155, University Library of Munich, Germany, revised 26 Oct 2008.
  54. Zhao, Wandi & Gao, Yang, 2023. "Network connectedness and the contagion structure of informed trading: Evidence from the time and frequency domains," International Review of Financial Analysis, Elsevier, vol. 90(C).
  55. Roberto Frota Decourt & Heitor Almeida & Philippe Protin & Matheus R. C. Gonzalez, 2019. "INFORMATION ASYMMETRY INDEX: The View of Market Analysts," Post-Print hal-04690540, HAL.
  56. Wang, Shujing & Yan, Hongjun & Zhong, Ninghua & Tang, Yizhou, 2024. "Indirect effects of trading restrictions," Journal of Corporate Finance, Elsevier, vol. 86(C).
  57. Hoang Luong Luong & Huong Giang (Lily) Nguyen & Xiangkang Yin, 2015. "When Is a Firm's Information Asymmetry Priced? The Role of Institutional Investors," International Review of Finance, International Review of Finance Ltd., vol. 15(1), pages 55-88, March.
  58. Marzagão, Thiago, 2021. "Insider trading in Brazil's stock market," OSF Preprints fu9mg, Center for Open Science.
  59. Lee, Hua & Lee, Hsien-Li & Wang, Chen-Chin, 2017. "Engagement partner specialization and corporate disclosure transparency," The International Journal of Accounting, Elsevier, vol. 52(4), pages 354-369.
  60. Kim, Jinyong & Kim, Yongsik, 2023. "Which stock price component drives the Amihud illiquidity premium?," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
  61. repec:zbw:bofrdp:001 is not listed on IDEAS
  62. Song Han & Xing Zhou, 2014. "Informed Bond Trading, Corporate Yield Spreads, and Corporate Default Prediction," Management Science, INFORMS, vol. 60(3), pages 675-694, March.
  63. Tom Berglund, 2020. "Liquidity and Corporate Governance," JRFM, MDPI, vol. 13(3), pages 1-9, March.
  64. Deng, Mengdie & Lin, Tse-Chun & Zhou, Jiayu, 2024. "Does better liquidity for large orders attract institutional investors and analysts? Evidence from the Tick Size Pilot Program," Journal of Financial Markets, Elsevier, vol. 67(C).
  65. Thomas N. Cintra & Maxwell P. Holloway, 2023. "Detecting Depegs: Towards Safer Passive Liquidity Provision on Curve Finance," Papers 2306.10612, arXiv.org.
  66. Roberto Frota Decourt & Heitor Almeida & Philippe Protin & Matheus R. C. Gonzalez, 2024. "Information Asymmetry Index: The View of Market Analysts," Papers 2409.06272, arXiv.org.
  67. Maraachlian, Hilda & Rourke, Thomas, 2014. "Delta and vega exposure trading in stock and option markets," Journal of Financial Markets, Elsevier, vol. 18(C), pages 96-125.
  68. Luc Paugam & Olivier Ramond, 2015. "Effect of Impairment-Testing Disclosures on the Cost of Equity Capital," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 42(5-6), pages 583-618, June.
  69. Quan Gan & Wang Chun Wei & David Johnstone, 2015. "A faster estimation method for the probability of informed trading using hierarchical agglomerative clustering," Quantitative Finance, Taylor & Francis Journals, vol. 15(11), pages 1805-1821, November.
  70. Max Schreder & Pawel Bilinski, 2022. "Information Quality and the Expected Rate of Return: A Structural Equation Modelling Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(2), pages 139-170, June.
  71. Pawan Jain & Mark Sunderman & K. Janean Westby-Gibson, 2017. "REITs and Market Microstructure: A Comprehensive Analysis of Market Quality," Journal of Real Estate Research, American Real Estate Society, vol. 39(1), pages 65-98.
  72. Ruwei Zhao & Xiong Xiong & Dehua Shen & Wei Zhang, 2019. "Investor Structure and Stock Price Crash Risk in a Continuous Double Auction Market: An Agent-Based Perspective," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 18(02), pages 695-715, March.
  73. Lee, Dong Wook & Liu, Mark H., 2011. "Does more information in stock price lead to greater or smaller idiosyncratic return volatility?," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1563-1580, June.
  74. Zhi Da & Pengjie Gao & Ravi Jagannathan, 2008. "Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds," NBER Working Papers 14609, National Bureau of Economic Research, Inc.
  75. Maskara, Pankaj K. & Mullineaux, Donald J., 2011. "Information asymmetry and self-selection bias in bank loan announcement studies," Journal of Financial Economics, Elsevier, vol. 101(3), pages 684-694, September.
  76. Isam Saleh & Nawaf Alghusain, 2018. "Disclosure of Financial Statements and Its Effect on Investor¡¯s Decision Making in Jordanian Commercial Banks," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(2), pages 20-27, February.
  77. Yi, Shangkun & Wang, Jian & Wang, Xiaoting & Feng, Hongrui, 2022. "CEO political connection and stock sentiment beta: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 74(C).
  78. Zhefeng Liu & Fayez Elayan, 2015. "Litigation risk, information asymmetry and conditional conservatism," Review of Quantitative Finance and Accounting, Springer, vol. 44(4), pages 581-608, May.
  79. Cosmin Octavian Cepoi & Victor Dragotă & Ruxandra Trifan & Andreea Iordache, 2023. "Probability of informed trading during the COVID-19 pandemic: the case of the Romanian stock market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-27, December.
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