Identifying and Pricing Adverse Selection Risk with VPIN

We perform the first large-sample estimation of the Volume Synchronized Probability of Informed Trading (VPIN) measure, validating it and performing pricing tests of informed trading. The pricing of VPIN is not explained by firm characteristics. A portfolio long (short) high-VPIN (low-VPIN) stocks delivers a monthly five-factor alpha of .18%, which rises to .29% when using a signed version of the measure (SVPIN). A long-short trade on SVPIN delivers an annualized five-factor BHAR of 11.45%. Incorporating a reversal in stock performance in portfolio sorts on SVPIN improves BHARs to 17.34%

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Year of publication:	2020
Authors:	Borochin, Paul
Other Persons:	Rush, Stephen (contributor)
Publisher:	[2020]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Adverse Selektion \| Adverse selection \| Risiko \| Risk

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Extent:	1 Online-Ressource (36 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 1, 2016 erstellt
Other identifiers:	10.2139/ssrn.2599871 [DOI]
Classification:	G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies ; c55 ; d56
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012856246