Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/16717
Title: Does information risk affect the implied cost of equity capital? An analysis of PIN and adjusted PIN
Authors: Hwang, LS
Lee, WJ
Lim, SY
Park, KH
Keywords: Adjusted PIN (AdjPIN)
Analysts' forecasts
Expected returns
Implied cost of equity capital
Probability of informed trading (PIN)
Issue Date: 2013
Publisher: Elsevier Science Bv
Source: Journal of accounting and economics, 2013, v. 55, no. 2-3, p. 148-167 How to cite?
Journal: Journal of Accounting and Economics 
Abstract: Using a unique dataset of Korean listed companies for which trade initiators are correctly identifiable, we estimate bias-free PIN (probability of informed trading) that is no longer subject to the trade misspecification problem and test whether it is related to expected returns. Unlike prior studies, we find that bias-free AdjPIN, the adjusted PIN purged of a liquidity component, is positively related to implied cost of equity. Our findings suggest that the errors in PIN variables hamper a proper identification of PIN pricing in prior studies.
URI: http://hdl.handle.net/10397/16717
ISSN: 0165-4101
DOI: 10.1016/j.jacceco.2013.01.005
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