The Investigation of Information Risk Pricing; Evidence from Adjusted Probability of Informed Trading Measure
Information asymmetry is one of the most important uncertainties that investors are faced with. Empirical evidence states that information asymmetry is undiversifiable; hence, it’s expected to be priced and have an effect on the expected rate of return. The probability of informed trading (PIN) is t...
| Main Authors: | , |
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| Format: | Article |
| Language: | fas |
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University of Tehran
2017-09-01
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| Series: | تحقیقات مالی |
| Subjects: | |
| Online Access: | https://jfr.ut.ac.ir/article_66360_54730464fefe5f5452db3c292dcbdfed.pdf |
| _version_ | 1828257544807645184 |
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| author | Maryam Davallou Nazanin Azizi |
| author_facet | Maryam Davallou Nazanin Azizi |
| author_sort | Maryam Davallou |
| collection | DOAJ |
| description | Information asymmetry is one of the most important uncertainties that investors are faced with. Empirical evidence states that information asymmetry is undiversifiable; hence, it’s expected to be priced and have an effect on the expected rate of return. The probability of informed trading (PIN) is the most popular indicator of information risk. This study aims to examine the pricing of information risk and its origin, for the first time, through dividing PIN into two sections of adjusted probability of informed trading (AdjPIN) and probability of symmetric order shocks (PSOS). For this purpose, the relationship between stock return and PIN components was examined through Fama-MacBeth regression (1973) in a sample of 43 companies listed on Tehran Stock Exchange from 2009 to 2015. The results stated that the adjusted probability of informed trading is priced; however, the probability of symmetric order shocks did not have a statistically significant effect. The same results were also obtained after volume changing through earning announcement periods. <br /> |
| first_indexed | 2024-04-13T02:43:13Z |
| format | Article |
| id | doaj.art-970aa8e17d87478cbfa93b0b5f873715 |
| institution | Directory Open Access Journal |
| issn | 1024-8153 2423-5377 |
| language | fas |
| last_indexed | 2024-04-13T02:43:13Z |
| publishDate | 2017-09-01 |
| publisher | University of Tehran |
| record_format | Article |
| series | تحقیقات مالی |
| spelling | doaj.art-970aa8e17d87478cbfa93b0b5f8737152022-12-22T03:06:08ZfasUniversity of Tehranتحقیقات مالی1024-81532423-53772017-09-0119341543810.22059/jfr.2018.251305.100660066360The Investigation of Information Risk Pricing; Evidence from Adjusted Probability of Informed Trading MeasureMaryam Davallou0Nazanin Azizi1Assistant Prof. in Financial, Faculty of Management and Accounting, Shahid Beheshti University, Tehran, IranMSc. In Financial, Faculty of Management and Accounting, Shahid Beheshti University, Tehran, IranInformation asymmetry is one of the most important uncertainties that investors are faced with. Empirical evidence states that information asymmetry is undiversifiable; hence, it’s expected to be priced and have an effect on the expected rate of return. The probability of informed trading (PIN) is the most popular indicator of information risk. This study aims to examine the pricing of information risk and its origin, for the first time, through dividing PIN into two sections of adjusted probability of informed trading (AdjPIN) and probability of symmetric order shocks (PSOS). For this purpose, the relationship between stock return and PIN components was examined through Fama-MacBeth regression (1973) in a sample of 43 companies listed on Tehran Stock Exchange from 2009 to 2015. The results stated that the adjusted probability of informed trading is priced; however, the probability of symmetric order shocks did not have a statistically significant effect. The same results were also obtained after volume changing through earning announcement periods. <br />https://jfr.ut.ac.ir/article_66360_54730464fefe5f5452db3c292dcbdfed.pdfadjusted probability of informed tradinginformation riskprobability of symmetric order shocks |
| spellingShingle | Maryam Davallou Nazanin Azizi The Investigation of Information Risk Pricing; Evidence from Adjusted Probability of Informed Trading Measure تحقیقات مالی adjusted probability of informed trading information risk probability of symmetric order shocks |
| title | The Investigation of Information Risk Pricing; Evidence from Adjusted Probability of Informed Trading Measure |
| title_full | The Investigation of Information Risk Pricing; Evidence from Adjusted Probability of Informed Trading Measure |
| title_fullStr | The Investigation of Information Risk Pricing; Evidence from Adjusted Probability of Informed Trading Measure |
| title_full_unstemmed | The Investigation of Information Risk Pricing; Evidence from Adjusted Probability of Informed Trading Measure |
| title_short | The Investigation of Information Risk Pricing; Evidence from Adjusted Probability of Informed Trading Measure |
| title_sort | investigation of information risk pricing evidence from adjusted probability of informed trading measure |
| topic | adjusted probability of informed trading information risk probability of symmetric order shocks |
| url | https://jfr.ut.ac.ir/article_66360_54730464fefe5f5452db3c292dcbdfed.pdf |
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