Purpose: This paper aims to test the extent to which downward bias due to a floating-point exception in probability of informed trading (PIN) estimates obtained using the Easley, Hvidkjaer and O’Hara (EHO; 2002) method is remedied using the Yan and Zhang (YZ; 2012) method. The paper also aims...

Purpose – Most of the credit spread literature deals with the determinants of credit spread changes for individual bonds. The purpose of this paper is to investigate the explanatory power of credit spread changes and their determinants for portfolios. Design/methodology/approach – Using...

Purpose – Researchers have proposed characteristics-based pricing models as an alternative to risk-based pricing models. While supported empirically, these characteristic-based models lack theoretical support. This paper seeks to reformulate an asset-pricing model (RAPM) to demonstrate why...

Purpose – Researchers have proposed characteristics‐based pricing models as an alternative to risk‐based pricing models. While supported empirically, these characteristic‐based models lack theoretical support. This paper seeks to reformulate an asset‐pricing model (RAPM) to demonstrate...

Purpose – Most of the credit spread literature deals with the determinants of credit spread changes for individual bonds. The purpose of this paper is to investigate the explanatory power of credit spread changes and their determinants for portfolios. Design/methodology/approach – Using...