Footnote:
In: Review of Quantitative Finance and Accounting 44 (3), 551-572, 2015
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 17, 2013 erstellt
Description:
Based on the notion that private information necessarily accompanies trade and leads to return variation, this paper explores the positive relationship between informed trade and firm-specific return variation. Using the PIN as a measure of informed trade, we find that the PIN is positively related to firm-specific return variation. We also find a significant interaction effect such that the impact of informed trade on firm-specific return variation is more profound for stocks with a high trading volume than for stocks with a low trading volume. The results of various robustness checks confirm that informed trade is indeed an important determinant of firm-specific return variation