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Browsing Graduate School of Business by Subject "PIN variable"

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Browsing Graduate School of Business by Subject "PIN variable"

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  • Testing the PIN variable 
    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 ...