Probability of information-based trading and the January effect

Journal of Banking and Finance

Volumn 34, Issue 12, 2010, Pages 2985-2994

  Kang, Moonsoo ^a  

^a IONA COLLEGE   (United States)

Author keywords

Institutional investor; January effect; Probability of information based trading (PIN)

Indexed keywords

EID: 77956907810     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2010.07.007     Document Type: Article

References (38)

1. Acharya V., Pedersen L. Asset pricing with liquidity risk. Journal of Financial Economics 2005, 77:375-410.
2. Amihud Y. Illiquidity and stock returns: Cross-section and time-series effects. Journal of Financial Markets 2002, 5:31-56.
3. Ascioglu A., Hegde S., McDermott J. Information asymmetry and investment-cash flow sensitivity. Journal of Banking and Finance 2008, 32:1036-1048.
4. Badrinath G., Wahal S. Momentum trading by institutions. Journal of Finance 2002, 57:2449-2478.
5. Brennan M., Subrahmanyam A. Market microstructure and asset pricing: On the compensation for illiquidity in stock returns. Journal of Financial Economics 1996, 41:441-464.
6. Brennan M., Chordia T., Subrahmanyam A. Alternative factor specifications, security characteristics, and the cross-section of expected stock returns. Journal of Financial Economics 1998, 49:345-373.
7. Brockman P., Yan X. Block ownership and firm-specific information. Journal of Banking and Finance 2009, 33:308-316.
8. Brown P., Keim D., Kleidon A., Marsh T. Stock return seasonalities and the tax-loss selling hypothesis: Analysis of the arguments and Australian evidence. Journal of Financial Economics 1983, 12:105-127.
9. Constantinides G. Optimal stock trading with personal taxes: Implications for prices and the abnormal January returns. Journal of Financial Economics 1984, 13:65-89.
10. Copeland L., Wang W., Zeng Y. Information-based trade in the Shanghai stock market. Global Finance Journal 2009, 180-190.
11. Dennis, P., Weston, J., 2001. Who is informed: Analysis of stock ownership and informed trading. Working paper, Rice University.
12. Ding B., Shawky H., Tian J. Liquidity shocks, size and the relative performance of hedge fund strategies. Journal of Banking and Finance 2009, 33:883-891.
13. Doran, J., Jiang, D., Peterson, D., 2008. Gambling in the new year: The January idiosyncratic volatility puzzle. Working paper, Florida State University.
14. Duarte J., Young L. Why is PIN priced?. Journal of Financial Economics 2009, 91:119-138.
15. Easley D., Hvidkjaer S., O'Hara M. Is information risk a determinant of asset returns?. Journal of Finance 2002, 57:2185-2221.
16. Easley D., Hvidkjaer S., O'Hara M. Factoring information into returns. Journal of Financial and Quantitative Analysis 2010, 45:293-309.
17. Easley D., Keifer N., O'Hara M., Paperman J. Liquidity, information, and infrequently traded stocks. Journal of Finance 1996, 51:1405-1436.
18. Easley D., Keifer N., O'Hara M. One day in the life of a very common stock. Review of Financial Studies 1997, 10:805-835.
19. Easley D., O'Hara M., Paperman J. Financial analyst and information-based trade. Journal of Financial Markets 1998, 1:175-201.
20. Eleswarapu V., Reinganum M. The seasonal behavior of the liquidity premium in asset pricing. Journal of Financial Economics 1993, 34:373-386.
21. Fama E., French K. The cross-section of expected stock returns. Journal of Finance 1992, 47:427-465.
22. Fama E., French K. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 1993, 33:3-56.
23. Garleanu N., Pedersen L. Adverse selection and the required return. Review of Financial Studies 2004, 17:643-665.
24. Griblatt M., Moskwitz T. Predicting stock price movements from past returns: The role of consistency and tax-loss selling. Journal of Financial Economics 2004, 71:541-579.
25. Gultekin M., Gultekin N. Stock market seasonality: International evidence. Journal of Financial Economics 1983, 12:469-481.
26. Jegadeesh N., Titman S. Returns to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance 1993, 48:65-91.
27. Keim B. Size-related anomalies and stock return seasonality: Further empirical evidence. Journal of Financial Economics 1983, 12:13-32.
28. Kato K., Schallheim J. Seasonal and size anomalies in the Japanese stock market. Journal of Financial and Quantitative Analysis 1985, 20:243-260.
29. Kubota K., Takehara H. Information based trade, the PIN variable, and portfolio style differences: Evidences from Tokyo stock exchange firms. Pacific-Basin Finance Journal 2009, 17:319-337.
30. Lakonishok J., Shleifer A., Thaler R., Vishny R. Window dressing by pension fund managers. American Economic Review, Papers and Proceedings 1991, 81:227-231.
31. Loughran T. Book-to-market across firm size, exchange, and seasonality: Is there an effect?. Journal of Financial and Quantitative Analysis 1997, 32:249-268.
32. Moller N., Zilca S. The evolution of the January effect. Journal of Banking and Finance 2008, 32:447-457.
33. Ng L., Wang Q. Institutional trading and the turn-of-the-year effect. Journal of Financial Economics 2004, 74:343-366.
34. Reinganum R. The anomalous stock market behavior of small firms in January: Empirical tests for tax-loss selling effects. Journal of Financial Economics 1983, 12:89-104.
35. Seyhun H. The January effect and aggregate insider trading. Journal of Finance 1988, 34:129-141.
36. Sias R., Starks L. Institutions and individuals at the turn-of-the-year. Journal of Finance 1997, 52:1543-1562.
37. Starks L., Yong Y., Zheng L. Tax-loss selling and the January effect: Evidence from municipal bond closed-end funds. Journal of Finance 2006, 61:3049-3067.
38. Wermers R. Mutual fund herding and the impact on stock prices. Journal of Finance 1999, 54:467-492.