Does PIN affect equity prices around the world?

Sandy Lai, Lilian Ng, Bohui Zhang

Research output: Contribution to journalArticlepeer-review

66 Citations (Scopus)


This study examines the empirical controversy over the pricing effect of the Easley, Hvidkjaer, and O[U+05F3]Hara (2002) probability of information-based trading, PIN, on a sample of 30,095 firms from 47 countries worldwide. Contrary to the empirical evidence of Easley, Hvidkjaer, and O[U+05F3]Hara, but consistent with that of Duarte and Young (2009), we do not find that PIN exhibits a positive effect on a cross section of expected stock returns in international markets. Alternative information-based trading measures also display no effect on expected stock returns, corroborating our finding that information risk proxied by PIN, in general, has no pricing effect in world markets.

Original languageEnglish
Pages (from-to)178-195
Number of pages18
JournalJournal of Financial Economics
Issue number1
Publication statusPublished - 1 Oct 2014
Externally publishedYes


  • Asset pricing
  • Information risk
  • International markets
  • PIN


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