Aslan, Hadiye; Easley, David; Hvidkjaer, Soeren; … - In: Journal of Empirical Finance 18 (2011) 5, pp. 782-801
This paper investigates the linkage of microstructure, accounting, and asset pricing. We determine the relationship between firm characteristics as captured by accounting and market data and a firm's probability of private information-based trade (PIN) as estimated from trade data. This allows...