상세 보기
Does information risk affect the implied cost of equity capital? An analysis of PIN and adjusted PIN
- Hwang, Lee-Seok;
- Lee, Woo-Jong;
- Lim, Seung-Yeon;
- Park, Kyung-Ho
Citations
WEB OF SCIENCE
24Citations
SCOPUS
27초록
Using a unique dataset of Korean listed companies for which trade initiators are correctly identifiable, we estimate bias-free PIN (probability of informed trading) that is no longer subject to the trade misspecification problem and test whether it is related to expected returns. Unlike prior studies, we find that bias-free AdjPIN, the adjusted PIN purged of a liquidity component, is positively related to implied cost of equity. Our findings suggest that the errors in PIN variables hamper a proper identification of PIN pricing in prior studies. (C) 2013 Elsevier B.V. All rights reserved.
키워드
Probability of informed trading (PIN); Adjusted PIN (AdjPIN); Implied cost of equity capital; Expected returns; Analysts' forecasts; STOCK RETURNS; EXPECTED RETURNS; ACCRUALS QUALITY; REALIZED RETURNS; AVERAGE RETURNS; LIQUIDITY; MARKET; DISCLOSURE; VOLUME; PROFITABILITY
- 제목
- Does information risk affect the implied cost of equity capital? An analysis of PIN and adjusted PIN
- 저자
- Hwang, Lee-Seok; Lee, Woo-Jong; Lim, Seung-Yeon; Park, Kyung-Ho
- 발행일
- 2013-04
- 유형
- Article
- 권
- 55
- 호
- 2-3
- 페이지
- 148 ~ 167
- 출판사
- ELSEVIER SCIENCE BV
- 발행국가
- 네덜란드
- 분량
- 20 페이지
- ISSN
- P 0165-4101