Informed trading, order flow shocks and the cross section of expected returns in Borsa Istanbul
نویسندگان
چکیده
منابع مشابه
Informed Trading and the Pricing of Good and Bad Private Information in the Cross-Section of Expected Stock Returns
Informed Trading and the Pricing of Good and Bad Private Information in the Cross-Section of Expected Stock Returns We decompose PIN, the Probability of Informed Trading, into components that capture informed trading on good news (PIN G) and on bad news (PIN B), and provide new evidence that PIN and its components capture informed trading around quarterly earnings announcements. Our principal r...
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ژورنال
عنوان ژورنال: Applied Economics
سال: 2019
ISSN: 0003-6846,1466-4283
DOI: 10.1080/00036846.2019.1676386