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Asymmetric effects of informed trading on the cost of equity capital

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Persistent link: https://www.econbiz.de/10011577121

Asymmetric Effects of Informed Trading on the Cost of Equity Capital

Brennan, Michael J. - 2015

We decompose the structural estimate of the probability of informed trading, PIN, into components that capture informed trading on good and on bad news. We estimate these two components at quarterly intervals, and provide new evidence that they capture informed trading around earnings...

Persistent link: https://www.econbiz.de/10013036090

Theory-based illiquidity and asset pricing

Chordia, Tarun; Huh, Sahn-Wook; Subrahmanyam, Avanidhar - In: The review of financial studies 22 (2009) 9, pp. 3629-3668

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The cross-section of expected trading activity

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The determinants of average trade size

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Investment analysis and price formation in securities markets

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Market microstructure and asset pricing : on the compensation for illiquidity in stock returns

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Options market makers' hedging and informed trading : theory and evidence

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