Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/83949 
Year of Publication: 
2008
Series/Report no.: 
Cardiff Economics Working Papers No. E2008/2
Publisher: 
Cardiff University, Cardiff Business School, Cardiff
Abstract: 
We show that the probability of information-based trade (PIN) played a significant role in explaining monthly returns on Shanghai A shares over the period 2001 to 2006. In particular, PIN, as approximated by order imbalance as a proportion of total transactions, appears to explain returns even after controlling for risk in the much-cited Fama and French [Fama, E. F. & French, K. R. (1992). The Cross-Section of Expected Stock Returns. Journal of Finance, XLVII, 427-465.] three-factor model. However, we also find that some of the PIN effect appears to be indistinguishable from a turnover effect.
Subjects: 
Information-based trade Asset pricing Shanghai Stock Exchange
Document Type: 
Working Paper

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