Firm Characteristics and Informed Trading : Implications for Asset Pricing

@inproceedings{Aslan2008FirmCA,
  title={Firm Characteristics and Informed Trading : Implications for Asset Pricing},
  author={Hadiye Aslan},
  year={2008}
}
This paper investigates the linkage of microstructure, accounting, and asset pricing. We determine the relationship between firm characteristics as captured by accounting and market data and a firm’s probability of private information-based trade (PIN) as estimated from trade data. This allows us to determine what types of firms have high information risk. We then use these data to create an instrument for PIN, the PPIN, which we can estimate from firm-specific data. We show that PPINs have… CONTINUE READING

Citations

Publications citing this paper.
SHOWING 1-10 OF 19 CITATIONS

Does PIN Affect Equity Prices Around the World

VIEW 3 EXCERPTS
CITES BACKGROUND
HIGHLY INFLUENCED

Toward a Flexible Price Limit System

VIEW 4 EXCERPTS
CITES BACKGROUND & RESULTS
HIGHLY INFLUENCED

Disclosure level, information asymmetry, cost of capital and capital structure

  • 2012 International Conference on Management Science & Engineering 19th Annual Conference Proceedings
  • 2012
VIEW 2 EXCERPTS
CITES BACKGROUND & METHODS