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Erscheinungsjahr: 
2008
Schriftenreihe/Nr.: 
Cardiff Economics Working Papers No. E2008/2
Verlag: 
Cardiff University, Cardiff Business School, Cardiff
Zusammenfassung: 
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.
Schlagwörter: 
Information-based trade Asset pricing Shanghai Stock Exchange
Dokumentart: 
Working Paper

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