Why is PIN Priced

By J. Duarte, Lance A. Young. 2008

443 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/43c5f3884f589a525f6ef15614459b8a0b712621

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

In Economics and Econometrics

In Finance

Citations in the corpus

Empirical cross-sectional asset pricing: a survey (2011, background): “However, Duarte and Young (2009) report that it is only the liquidity trading component of PIN, rather than the information-based component, that is priced.”
Does Information Asymmetry Matter to Equity Pricing? Evidence from Firms’ Geographic Location (2010, unknown): “1 See, for example, Easley et al. (2002, 2010); Easley and O’Hara (2004); Hughes et al.”
Does PIN affect equity prices around the world (2014, unknown): “Empirically, Duarte and Young (2009) find no evidence that supports Easley, Hvidkjaer, and O’Hara’s (2002) finding that PIN is associated with priced information risk.1 They decompose PIN into two components, one related to asymmetric information and one related to illiquidity, and find that only…”
Does Earnings Quality Affect Information Asymmetry? Evidence from Trading Costs*: Earnings Quality and Information Asymmetry (2013, unknown): “4 Evidence in recent studies (Duarte and Young, 2009; Mohanram and Rajgopal, 2009) raises doubts regarding the ability of the PIN measure to capture information risk that is priced by investors.”
The Cross-Section of Expected Stock Returns: What Have We Learnt from the Past Twenty-Five Years of Research? (2010, unknown): “However, Duarte and Young (2009) decompose the PIN into components due to information-based and liquidity trading and find that it is the latter component that is priced, thus raising questions about whether PIN is a valid measure of information asymmetry.”
Factoring Information Into Returns (2010, unknown): “Surprisingly, Duarte and Young (2007) find that the liquidity measure ILLIQ is priced in Fama-MacBeth regressions over their similar sample period.”
Investor Competition Over Information and the Pricing of Information Asymmetry (2011, unknown): “We obtain the AdjPIN and PSOS used in Duarte and Young (2009).”
Which Firms Follow the Market? An Analysis of Corporate Investment Decisions (2010, unknown): “It is also closely related to the definition put forth in Erickson and Whited (2000) as any discrepancy between an observed measure of Tobin’s q and the manager’s expectation of capital productivity.”
The characteristics of informed trading: Implications for asset pricing (2011, background): “1 Some research (see Duarte and Young [2007]) argues that liquidity effects unrelated to information risk explain asset returns.”