메뉴 건너뛰기




Volumn 91, Issue 2, 2009, Pages 119-138

Why is PIN priced?

Author keywords

Information asymmetry; Liquidity

Indexed keywords


EID: 59149107049     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2007.10.008     Document Type: Article
Times cited : (269)

References (31)
  • 2
    • 0002816156 scopus 로고
    • A theory of intraday patterns: volume and price variability
    • Admati A., and Pfleiderer P. A theory of intraday patterns: volume and price variability. Review of Financial Studies 1 (1988) 3-40
    • (1988) Review of Financial Studies , vol.1 , pp. 3-40
    • Admati, A.1    Pfleiderer, P.2
  • 3
    • 0013068840 scopus 로고    scopus 로고
    • Illiquidity and stock returns: cross-section and time-series effects
    • Amihud Y. Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets 5 (2002) 31-56
    • (2002) Journal of Financial Markets , vol.5 , pp. 31-56
    • Amihud, Y.1
  • 5
    • 59149089475 scopus 로고    scopus 로고
    • Bachelier, L., 1900. Theorie de la Speculation (Thesis). Annales Scientifiques de l'École Normale Superieure III 17, 21-86 (English translation in Cootner, P., 1964. Random Character of Stock Market Prices. MIT Press, Cambridge, MA, pp. 17-78).
    • Bachelier, L., 1900. Theorie de la Speculation (Thesis). Annales Scientifiques de l'École Normale Superieure III 17, 21-86 (English translation in Cootner, P., 1964. Random Character of Stock Market Prices. MIT Press, Cambridge, MA, pp. 17-78).
  • 8
    • 0029704940 scopus 로고    scopus 로고
    • An empirical examination of information, differences of opinion, and trading activity
    • Bessembinder H., Chan K., and Seguin P. An empirical examination of information, differences of opinion, and trading activity. Journal of Financial Economics 40 (1996) 105-134
    • (1996) Journal of Financial Economics , vol.40 , pp. 105-134
    • Bessembinder, H.1    Chan, K.2    Seguin, P.3
  • 9
    • 33846279422 scopus 로고    scopus 로고
    • Estimating the probability of informed trading-Does trade misclassification matter?
    • Boehmer E., Grammig J., and Theissen E. Estimating the probability of informed trading-Does trade misclassification matter?. Journal of Financial Markets 10 (2007) 26-47
    • (2007) Journal of Financial Markets , vol.10 , pp. 26-47
    • Boehmer, E.1    Grammig, J.2    Theissen, E.3
  • 10
    • 0142087691 scopus 로고    scopus 로고
    • Stock price reaction to news and no-news: drift and reversal after headlines
    • Chan W. Stock price reaction to news and no-news: drift and reversal after headlines. Journal of Financial Economics 70 (2003) 223-260
    • (2003) Journal of Financial Economics , vol.70 , pp. 223-260
    • Chan, W.1
  • 11
    • 84936823769 scopus 로고
    • Capital market equilibrium with transaction costs
    • Constantinides G. Capital market equilibrium with transaction costs. Journal of Political Economy 94 (1986) 842-862
    • (1986) Journal of Political Economy , vol.94 , pp. 842-862
    • Constantinides, G.1
  • 12
    • 36849049274 scopus 로고    scopus 로고
    • Information asymmetry, information dissemination and the effect of regulation FD on the cost of capital
    • Duarte J., Han X., Harford J., and Young L. Information asymmetry, information dissemination and the effect of regulation FD on the cost of capital. Journal of Financial Economics 87 (2008) 24-44
    • (2008) Journal of Financial Economics , vol.87 , pp. 24-44
    • Duarte, J.1    Han, X.2    Harford, J.3    Young, L.4
  • 13
    • 0010940821 scopus 로고
    • Price, trade size, and information in securities markets
    • Easley D., and O'Hara M. Price, trade size, and information in securities markets. Journal of Financial Economics 19 (1987) 69-90
    • (1987) Journal of Financial Economics , vol.19 , pp. 69-90
    • Easley, D.1    O'Hara, M.2
  • 14
    • 2442609381 scopus 로고    scopus 로고
    • Information and the cost of capital
    • Easley D., and O'Hara M. Information and the cost of capital. Journal of Finance 59 (2004) 1553-1583
    • (2004) Journal of Finance , vol.59 , pp. 1553-1583
    • Easley, D.1    O'Hara, M.2
  • 15
    • 0040898818 scopus 로고    scopus 로고
    • Liquidity, information, and infrequently traded stocks
    • Easley D., Kiefer N., O'Hara M., and Paperman J. Liquidity, information, and infrequently traded stocks. Journal of Finance 51 (1996) 1405-1436
    • (1996) Journal of Finance , vol.51 , pp. 1405-1436
    • Easley, D.1    Kiefer, N.2    O'Hara, M.3    Paperman, J.4
  • 17
    • 0003313336 scopus 로고    scopus 로고
    • Is Information risk a determinant of asset returns?
    • Easley D., Hvidkjaer S., and O'Hara M. Is Information risk a determinant of asset returns?. Journal of Finance 57 (2002) 2185-2221
    • (2002) Journal of Finance , vol.57 , pp. 2185-2221
    • Easley, D.1    Hvidkjaer, S.2    O'Hara, M.3
  • 18
    • 0000928969 scopus 로고
    • Risk, return, and equilibrium: empirical tests
    • Fama E., and MacBeth J. Risk, return, and equilibrium: empirical tests. Journal of Political Economy 81 (1973) 607-636
    • (1973) Journal of Political Economy , vol.81 , pp. 607-636
    • Fama, E.1    MacBeth, J.2
  • 20
    • 0345401653 scopus 로고
    • Bid, ask and transaction prices in a specialist market with heterogeneously informed traders
    • Glosten L., and Milgrom P. Bid, ask and transaction prices in a specialist market with heterogeneously informed traders. Journal of Financial Economics 13 (1985) 71-100
    • (1985) Journal of Financial Economics , vol.13 , pp. 71-100
    • Glosten, L.1    Milgrom, P.2
  • 21
  • 22
    • 21344493808 scopus 로고
    • Differences of opinion make a horse race
    • Harris M., and Raviv A. Differences of opinion make a horse race. Review of Financial Studies 6 (1993) 473-506
    • (1993) Review of Financial Studies , vol.6 , pp. 473-506
    • Harris, M.1    Raviv, A.2
  • 23
    • 34250693655 scopus 로고    scopus 로고
    • Information asymmetry, diversification, and asset pricing
    • Hughes J., Liu J., and Liu J. Information asymmetry, diversification, and asset pricing. The Accounting Review 82 (2007) 705-729
    • (2007) The Accounting Review , vol.82 , pp. 705-729
    • Hughes, J.1    Liu, J.2    Liu, J.3
  • 24
    • 85141101504 scopus 로고
    • Differential interpretation of public signals and trade in speculative markets
    • Kandel E., and Pearson N. Differential interpretation of public signals and trade in speculative markets. Journal of Political Economy 103 (1995) 831-872
    • (1995) Journal of Political Economy , vol.103 , pp. 831-872
    • Kandel, E.1    Pearson, N.2
  • 25
    • 59149090963 scopus 로고    scopus 로고
    • Lambert, R., Leuz, C., Verrecchia, R., 2005. Accounting information, disclosure, and the cost of capital. Unpublished working paper, University of Pennsylvania, Philadelphia, PA.
    • Lambert, R., Leuz, C., Verrecchia, R., 2005. Accounting information, disclosure, and the cost of capital. Unpublished working paper, University of Pennsylvania, Philadelphia, PA.
  • 26
    • 84977730741 scopus 로고
    • Inferring trade direction from intraday data
    • Lee C., and Ready M. Inferring trade direction from intraday data. Journal of Finance 46 (1991) 733-746
    • (1991) Journal of Finance , vol.46 , pp. 733-746
    • Lee, C.1    Ready, M.2
  • 28
    • 33645958547 scopus 로고    scopus 로고
    • Momentum and post-earnings-announcement drift anomalies: the role of liquidity risk
    • Sadka R. Momentum and post-earnings-announcement drift anomalies: the role of liquidity risk. Journal of Financial Economics 80 (2006) 309-349
    • (2006) Journal of Financial Economics , vol.80 , pp. 309-349
    • Sadka, R.1
  • 29
    • 59149089248 scopus 로고    scopus 로고
    • Sarkar, A., Schwartz, R., 2007. Market sidedness: insights into motives for trade initiation. Unpublished working paper, Federal Reserve Bank of New York, New York, NY.
    • Sarkar, A., Schwartz, R., 2007. Market sidedness: insights into motives for trade initiation. Unpublished working paper, Federal Reserve Bank of New York, New York, NY.
  • 30
    • 33748041619 scopus 로고    scopus 로고
    • Stock price reaction to public and private information
    • Vega C. Stock price reaction to public and private information. Journal of Financial Economics 82 (2006) 103-133
    • (2006) Journal of Financial Economics , vol.82 , pp. 103-133
    • Vega, C.1
  • 31
    • 59149090836 scopus 로고    scopus 로고
    • Venter, J., de Jongh, D., 2004. Extending the EKOP model to estimate the probability of informed trading. Unpublished working paper, North-West University Center for Business Mathematics and Informatics, Potchefstroom, South Africa.
    • Venter, J., de Jongh, D., 2004. Extending the EKOP model to estimate the probability of informed trading. Unpublished working paper, North-West University Center for Business Mathematics and Informatics, Potchefstroom, South Africa.


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.