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We show that the PIN and the Duarte and Young (2009) (APIN) models do not match the variability of noise trade in the data and that this limitation has severe… Click to show full abstract
We show that the PIN and the Duarte and Young (2009) (APIN) models do not match the variability of noise trade in the data and that this limitation has severe implications for how these models identify private information. We examine two alternatives to these models, the Generalized PIN model (GPIN) and the Odders-White and Ready (2008) model (OWR). Our tests indicate that measures of private information based on the OWR and GPIN models are promising alternatives to the APIN’s Adj.PIN and PIN.
Keywords:
information arrival;
comparison structural;
private information;
models private;
structural models;
information
Journal Title: Journal of Financial Economics
Year Published: 2020
Link to full text (if available)
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Journal Title: Journal of Financial Economics
Year Published: 2020
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!