Good (Bad) News and the Probability of Informed Trading: Evidence from Illegal Insider Trading

被引：2

作者：

Su, Shunyu ^{[1
]}

Sha, Yezhou ^{[1
]}

机构：

[1] Capital Univ Econ & Business, Sch Finance, Beijing 100070, Peoples R China

来源：

EMERGING MARKETS FINANCE AND TRADE | 2024年 / 60卷 / 05期

关键词：

Probability of informed trading; liquidity; information asymmetry; insider trading; G12; G14; INFORMATION;

D O I：

10.1080/1540496X.2023.2266111

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We present a closed-form solution connecting the probability of informed trading ($PIN$PIN) to the overlooked parameter that signaling private information is good or bad. Estimating $PIN$PIN using illegal insider trading data, we find it sensitive to the certainty of positive private information in addition to the existed explanations, offering a new explanation for $PIN$PIN's limitations in prior literature.

引用

页码：1077 / 1086

页数：10

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