Hwang, Lee-Seok; Lee, Woo-Jong; Lim, Seung-Yeon; Park, … - In: Journal of Accounting and Economics 55 (2013) 2, pp. 148-167
Using a unique dataset of Korean listed companies for which trade initiators are correctly identifiable, we estimate bias-free PIN (probability of informed trading) that is no longer subject to the trade misspecification problem and test whether it is related to expected returns. Unlike prior...