Search Results - subject:"Probability of Information-based Trading"

Asset Pricing and Probability of Information-based Trading: Application to the Tunisian Stock Market

Bouchaddekh, Tarek; Bouri, Abdelfatteh; Nouaili, Makram - In: Accounting and Finance (2015) 1, pp. 58-65

based on Probability of Information-based Trading. … forward by Easley, Kiefer, O'Hara and Paperman (1996). They estimate private information by probability of information-based … trading (PIN). Our study concerns a sample of 40 quoted securities in Tunisian financial market, over the period going from …

Persistent link: https://www.econbiz.de/10011268374

Informed trade and idiosyncratic return variation

Kang, Moonsoo; Nam, Kiseok - In: Review of Quantitative Finance and Accounting 44 (2015) 3, pp. 551-572

significant positive relationship between informed trade and firm-specific return variation. Using the probability of information-based … trading (PIN) as a measure of informed trade, we find that the PIN is positively related to idiosyncratic return variation in …

Persistent link: https://www.econbiz.de/10011242068

Informed trade and idiosyncratic return variation

Kang, Moonsoo; Nam, Kiseok - In: Review of quantitative finance and accounting 44 (2015) 3, pp. 551-572

Persistent link: https://www.econbiz.de/10011327591