Does information risk affect the implied cost of equity capital? An analysis of PIN and adjusted PIN

被引：20

作者：

Hwang, Lee-Seok ^{[1
]}

Lee, Woo-Jong ^{[2
]}

Lim, Seung-Yeon ^{[3
]}

Park, Kyung-Ho ^{[4
]}

机构：

[1] Seoul Natl Univ, Coll Business Adm, Seoul, South Korea

[2] Hong Kong Polytech Univ, Sch Accounting & Finance, Hong Kong, Hong Kong, Peoples R China

[3] Kookmin Univ, Coll Business Adm, Seoul, South Korea

[4] Soongsil Univ, Coll Business Adm, Seoul, South Korea

来源：

JOURNAL OF ACCOUNTING & ECONOMICS | 2013年 / 55卷 / 2-3期

关键词：

Probability of informed trading (PIN); Adjusted PIN (AdjPIN); Implied cost of equity capital; Expected returns; Analysts' forecasts; STOCK RETURNS; EXPECTED RETURNS; ACCRUALS QUALITY; REALIZED RETURNS; AVERAGE RETURNS; LIQUIDITY; MARKET; DISCLOSURE; VOLUME; PROFITABILITY;

D O I：

10.1016/j.jacceco.2013.01.005

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Using a unique dataset of Korean listed companies for which trade initiators are correctly identifiable, we estimate bias-free PIN (probability of informed trading) that is no longer subject to the trade misspecification problem and test whether it is related to expected returns. Unlike prior studies, we find that bias-free AdjPIN, the adjusted PIN purged of a liquidity component, is positively related to implied cost of equity. Our findings suggest that the errors in PIN variables hamper a proper identification of PIN pricing in prior studies. (C) 2013 Elsevier B.V. All rights reserved.

引用

页码：148 / 167

页数：20

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