This paper explores the role of private information on idiosyncratic return variation. We suggest that there is a 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,...

In this paper, we explore nonlinearity inherent in short-horizon return dynamics, which is characterized by an asymmetric mean-reverting property. Over the period of 1962:07–2003:12, both daily and weekly returns of three market indexes and individual stock returns exhibit a strong asymmetric...