Information asymmetry, market state, and implementation risk

Volume: 50, Pages: 101007
Published: Nov 1, 2019
Abstract
null null This study demonstrates that the information risk premium is strongly dependent on the state of the market. Stocks with high information risk, as measured by the probability of informed trading (PIN) or adjusted PIN (ADJPIN), exhibit higher returns than stocks with low information risk when the market is in a good state, but this is not the case when the market is bad. Further analysis reveals that the information risk premium is high...
Paper Details
Title
Information asymmetry, market state, and implementation risk
Published Date
Nov 1, 2019
Volume
50
Pages
101007
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