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)...

We create and test two novel network-based measures of interconnectedness in the financial industry during 1996 to 2013. A network based on informed trading in financial firms predicts firm-specific risk and performance, while one formed on financial firm returns predicts future macroeconomic...