Good (Bad) News and the Probability of Informed Trading: Evidence from Illegal Insider Trading

被引：2
|
作者：
Su, Shunyu [1 ]
Sha, Yezhou [1 ]
机构：
[1] Capital Univ Econ & Business, Sch Finance, Beijing 100070, Peoples R China
来源：
EMERGING MARKETS FINANCE AND TRADE | 2024年 / 60卷 / 05期
关键词：
Probability of informed trading; liquidity; information asymmetry; insider trading; G12; G14; INFORMATION;
D O I：
10.1080/1540496X.2023.2266111
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We present a closed-form solution connecting the probability of informed trading ($PIN$PIN) to the overlooked parameter that signaling private information is good or bad. Estimating $PIN$PIN using illegal insider trading data, we find it sensitive to the certainty of positive private information in addition to the existed explanations, offering a new explanation for $PIN$PIN's limitations in prior literature.
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页码：1077 / 1086
页数：10
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