We examine the potential proamp;#64257;ts of trading on a measure of private information (PIN) in a stock. A zero-investment portfolio which is size neutral, but long in high PIN stocks and short in low PIN stocks earns a signiamp;#64257;cant abnormal return. The Fama-French and momentum factors do not...

This paper uses transactions data for all nyse/amex stocks in the period 1983-2002 to study how investors trade in Jegadeesh and Titman (1993) momentum portfolios. Among small trades, there is an extremely sluggish reaction to the past returns. For instance, an initial small-trade buying...