Lai, Sandy; Ng, Lilian; Zhang, Bohui - In: Journal of Financial Economics 114 (2014) 1, pp. 178-195
This study examines the empirical controversy over the pricing effect of the Easley, Hvidkjaer, and O׳Hara (2002) probability of information-based trading, PIN, on a sample of 30,095 firms from 47 countries worldwide. Contrary to the empirical evidence of Easley, Hvidkjaer, and O׳Hara, but...