Online Appendix for : Quality of PIN Estimates and the PIN-Return Relationship

This document is the Online Appendix to "Quality of PIN Estimates and the PIN-Return Relationship" by Yuxing Yan and Shaojun Zhang in Journal of Banking and Finance 43 (2014), pp 137-149. It includes two tables and four figures. The first table compares the two sets of quarterly PIN estimates that we obtain by using two methods to classify buyer-initiated and seller-initiated trades. One is the Lee and Ready (1991) algorithm with 5-second adjustment for delay in reported trade time. The other is the Ellis, Michaely and O'Hara (2000) algorithm without time adjustment. The second table compares the two sets of PIN estimates for actively and inactively traded stocks, separately. We divide stocks into three groups based on the average daily number of trades in each quarter. Stocks in the top group are actively traded, while stocks in the bottom group are inactively traded. The four figures pertain to the simulations we conduct to examine the impact of trade misclassification on the estimation of PIN.The abstract "Quality of PIN Estimates and the PIN-Return Relationship" to which these Appendices apply is available at the following URL: "http://ssrn.com/abstract=2430033" http://ssrn.com/abstract=2430033