Does the Probability of Informed Trading Measure Informed Trading
作者： James Petchey , Marvin Wee , Joey (Wenling) Yang
DOI: 10.2139/SSRN.2561149
关键词:
摘要: Recent research has raised concerns over whether the probability of informed trading model (PIN) is an appropriate proxy information asymmetry. We investigate PIN and test can detect illegal insider prior to M&A announcements. then compare performance alternative proxy, asymmetric autoregressive conditional duration (PIN-AACD), determine if this offers a better for trading. find that does not measure announcements, PIN-AACD
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