Event studies (ESs) can be applied to evaluate the impact of new regulations on the value of listed firms. However, regulatory changes are preceded by consultation processes and anticipations to the shareholders, which make it difficult to determine the exact timing of stock price response and...

We show that the probability of information-based trade (PIN) played a significant role in explaining monthly returns on Shanghai A shares over the period 2001 to 2006. In particular, PIN, as approximated by order imbalance as a proportion of total transactions, appears to explain returns even...