Easley, David; Hvidkjaer, Soeren; O’Hara, Maureen - In: Journal of Financial and Quantitative Analysis 45 (2010) 02, pp. 293-309
We examine the potential profits of trading on a measure of private information (PIN) in a stock. A zero-investment portfolio that is size-neutral but long in high PIN stocks and short in low PIN stocks earns a significant abnormal return. The Fama-French, momentum, and liquidity factors do not...
