Testing the PIN variable
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Social Science Research Network (SSRN) http://www.ssrn.com/en/
Abstract
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 dates than in the periods after earnings announcements
dates. This is inconsistent with the idea of PIN capturing the proba-
bility of informed trading.
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