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An improved estimation method and empirical properties of the probability of informed trading
14 references·16 citing·40 second hop
An improved estimation method and empirical properties of the probability of informed trading (2011)An improved estimation method and empiric…Factoring Information into Returns (2010)Factoring Information into Re…Why is PIN priced?☆ (2008)Why is PIN priced?☆Information Asymmetry and Asset Prices: Evidence from the Foreign Share Discount (2008)Information Asymmetry and Ass…Block ownership and firm-specific information (2008)Block ownership and firm-spec…Information asymmetry, information dissemination and the effect of regulation FD on the cost of capital (2007)Information asymmetry, inform…Stock price reaction to public and private information (2006)Stock price reaction to publi…Estimating the probability of informed trading—does trade misclassification matter? (2006)Estimating the probability of…Conference calls and information asymmetry (2004)Conference calls and informat…Is Information Risk a Determinant of Asset Returns? (2002)Is Information Risk a Determi…How Stock Splits Affect Trading: A Microstructure Approach (2001)How Stock Splits Affect Tradi…Differential Interpretations and Trading Volume (1999)Differential Interpretations …Liquidity, Information, and Infrequently Traded Stocks (1996)Liquidity, Information, and I…Time and the Process of Security Price Adjustment (1992)Time and the Process of Secur…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Machine Learning and Speed in High-Frequency Trading (2021)Machine Learning and Speed in…Measuring Tail Risks at High Frequency (2018)Measuring Tail Risks at High …Does IFRS Mandatory Adoption Affect Information Asymmetry in the Stock Market? (2017)Does IFRS Mandatory Adoption …Market microstructure during financial crisis: Dynamics of informed and heuristic-driven trading (2016)Market microstructure during …An unbiased computation methodology for estimating the probability of informed trading (PIN) (2016)An unbiased computation metho…Options market makers׳ hedging and informed trading: Theory and evidence (2015)Options market makers׳ hedgin…Learning, information processing and order submission in limit order markets (2015)Learning, information process…Does PIN measure information? Informed trading effects on returns and liquidity in six emerging markets (2015)Does PIN measure information?…Audit opinions and information asymmetry in the stock market (2015)Audit opinions and informatio…Asymmetric Effects of Informed Trading on the Cost of Equity Capital (2015)Asymmetric Effects of Informe…A faster estimation method for the probability of informed trading using hierarchical agglomerative clustering (2015)A faster estimation method fo…The relationship between the frequency of news release and the information asymmetry: The role of uninformed trading (2013)The relationship between the …May I Have Your Attention, Please: The Market Microstructure of Investor Attention (2012)May I Have Your Attention, Pl…Informed trading, information uncertainty, and price momentum (2012)Informed trading, information…From PIN to VPIN: An introduction to order flow toxicity (2012)From PIN to VPIN: An introduc…A computing bias in estimating the probability of informed trading (2011)A computing bias in estimatin…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Expected stock returns and volatility (1987)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)5 Stochastic volatility (1996)Realized Variance and Market Microstructure Noise (2006)Asset pricing and the bid-ask spread (1986)The Components of the Bid-Ask Spread: A General Approach (1997)Liquidity and stock returns: An alternative test (1998)Market microstructure: A survey (2000)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Industry costs of equity (1997)Deviations from Put-Call Parity and Stock Return Predictability (2010)Testing Asymmetric-Information Asset Pricing Models (2012)Linguistic Complexity in Firm Disclosures: Obfuscation or Information? (2014)Liquidity Risk and Expected Stock Returns (2003)China's Financial System: Past, Present, and Future (2008)Investor herding behaviour of Chinese stock market (2013)A review of China-related accounting research in the past 25 years (2022)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)Media Coverage and the Cross‐section of Stock Returns (2009)… and the Cross-Section of Expected Returns (2015)Illiquidity and stock returns: cross-section and time-series effects (2002)Measuring Investors' Opinion Divergence (2009)Testing Asymmetric-Information Asset Pricing Models (2009)An Empirical Evaluation of Accounting Income Numbers (1968)Winners in the spotlight: Media coverage of fund holdings as a driver of flows (2014)The Effects of Twitter Sentiment on Stock Price Returns (2015)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Information Asymmetry, Information Precision, and the Cost of Capital (2006)Herding and information based trading (2009)Information Efficiency and Firm-Specific Return Variation (2014)Price-based return comovement (2009)The Role of Stock Liquidity in Executive Compensation (2011)Nominal Price Illusion (2013)Commonality in liquidity (2000)Does Algorithmic Trading Improve Liquidity? 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this work references cited by second hop

References

  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 2002Is Information Risk a Determinant of Asset Returns?1,862 cited
  • 1996Liquidity, Information, and Infrequently Traded Stocks1,591 cited
  • 1992Time and the Process of Security Price Adjustment1,225 cited
  • 2004Conference calls and information asymmetry484 cited
  • 2006Stock price reaction to public and private information439 cited
  • 2008Information Asymmetry and Asset Prices: Evidence from the Foreign Share Discount385 cited
  • 2008Why is PIN priced?☆377 cited
  • 2010Factoring Information into Returns297 cited
  • 2001How Stock Splits Affect Trading: A Microstructure Approach255 cited
  • 2008Block ownership and firm-specific information251 cited
  • 1999Differential Interpretations and Trading Volume228 cited
  • 2007Information asymmetry, information dissemination and the effect of regulation FD on the cost of capital197 cited
  • 2006Estimating the probability of informed trading—does trade misclassification matter?113 cited

Cited by

  • 2011A computing bias in estimating the probability of informed trading83 cited

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  • 2012From PIN to VPIN: An introduction to order flow toxicity60 cited
  • 2017Does IFRS Mandatory Adoption Affect Information Asymmetry in the Stock Market?49 cited
  • 2015Audit opinions and information asymmetry in the stock market48 cited
  • 2015Asymmetric Effects of Informed Trading on the Cost of Equity Capital48 cited
  • 2012Informed trading, information uncertainty, and price momentum45 cited
  • 2015A faster estimation method for the probability of informed trading using hierarchical agglomerative clustering45 cited
  • 2021Machine Learning and Speed in High-Frequency Trading42 cited
  • 2013The relationship between the frequency of news release and the information asymmetry: The role of uninformed trading36 cited
  • 2015Learning, information processing and order submission in limit order markets32 cited
  • 2018Measuring Tail Risks at High Frequency31 cited
  • 2016An unbiased computation methodology for estimating the probability of informed trading (PIN)25 cited
  • 2015Does PIN measure information? Informed trading effects on returns and liquidity in six emerging markets24 cited
  • 2015Options market makers׳ hedging and informed trading: Theory and evidence23 cited
  • 2016Market microstructure during financial crisis: Dynamics of informed and heuristic-driven trading22 cited
  • 2012May I Have Your Attention, Please: The Market Microstructure of Investor Attention20 cited