Benos, Evangelos; Jochec, Marek
(Social Science Research Network (SSRN) http://www.ssrn.com/en/, 2007-02-17)
This paper puts the PIN variable (Probability of INformation-based
trading) to test. We ¯nd that for a large set of stocks, the PIN vari-
able is lower (albeit insigni¯cantly) in the periods before earnings an-
nouncements ...