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Why is PIN Priced? · Study

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PreprintWhy is PIN Priced?

Jefferson Duarte2007

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Preprintgreen2007

Why is PIN Priced?

Jefferson Duarte · Lance A. Young

50 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

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References

1973Risk, Return, and Equilibrium: Empirical Tests 2002Illiquidity and stock returns: cross-section and time-series effects 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 2003Liquidity Risk and Expected Stock Returns 1986Asset pricing and the bid-ask spread 1991Inferring Trade Direction from Intraday Data 1988A Theory of Intraday Patterns: Volume and Price Variability 2004Information and the Cost of Capital

Cited by

2008The Price of Market Volatility Risk 2006An Improved Estimation Method and Empirical Properties of the Probability of Informed Trading 2017Identifying Information Asymmetry in Securities Markets 2007Does Earnings Quality Affect Information Asymmetry? Evidence from Trading Costs 2016Consequences of Changing the Auditor's Report: Evidence from the U.K.

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2008Why is PIN priced?☆article · 20 shared references 2013Market Liquidity—Theory and Empirical Evidencechapter · 14 shared references 2012Market Liquidity -- Theory and Empirical Evidencereport · 14 shared references 2009Are Liquidity and Information Risks Priced in the Treasury Bond Market?article · 12 shared references 2012Market Liquidity: Asset Pricing, Risk, and Crisesbook · 12 shared references 2009Liquidity and Asset Prices: A Unified Frameworkreport · 12 shared references

Details

Year2007

Typepreprint

Published2007-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations50

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.971197

openalex_workW2010711832

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