Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/21753
Title: Quality of PIN estimates and the PIN-return relationship
Authors: Yan, Y
Zhang, S 
Keywords: PIN-return relationship
Probability of informed trading
Quality of PIN estimates
Issue Date: 2014
Publisher: Elsevier
Source: Journal of banking and finance, 2014, v. 43, no. 1, p. 137-149 How to cite?
Journal: Journal of banking and finance 
Abstract: This paper provides new evidence concerning the probability of informed trading (PIN) and the PIN-return relationship. We take measures to overcome known estimation biases and improve the quality of quarterly PIN estimates. We use the average of a firm's PIN estimates in four consecutive quarters to smooth out the effect of seasonal variation in trading activities. We find that when high-quality PIN estimates are used, the Fama-MacBeth cross-sectional regressions show stronger evidence for the positive PIN-return relationship than documented in the prior literature. This finding is robust to controls for the January, liquidity, and momentum effects.
URI: http://hdl.handle.net/10397/21753
ISSN: 0378-4266
EISSN: 1872-6372
DOI: 10.1016/j.jbankfin.2014.03.006
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