Anmerkungen:
In: Global Finance Journal, Forthcoming
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 4, 2009 erstellt
Beschreibung:
We show that the probability of information-based trade (PIN) played a significant role in explaining monthly returns on Shanghai A shares over the period 2001 to 2006. In particular, PIN, as approximated by order imbalance as a proportion of total transactions, appears to explain returns even after controlling for risk in the much-cited Fama and French (1992) three-factor model. However, we also find that some of the PIN effect appears to be indistinguishable from a turnover effect