This study investigates whether exchange-traded funds (ETFs) increase the information asymmetry of underlying securities by examining the relationship between the US equity ETF ownership or turnover and the volume-conditioned daily return autocorrelation proposed by Llorente, Michaely, Saar, and...

We investigate the seasonality in the probability of information-based trading (PIN)-return relationship, the ‘January-PIN effect'. We find that on average stock returns decrease with PIN in January, in contrast to other calendar months. This pattern is more apparent for small stocks. We argue...

Based on the notion that private information necessarily accompanies trade and leads to return variation, this paper explores the positive relationship between informed trade and firm-specific return variation. Using the PIN as a measure of informed trade, we find that the PIN is positively...