research article
oaioai:nur.nu.edu.kz:123456789/1419

Testing the PIN variable

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Publication date
17 February 2007
Publisher
Social Science Research Network (SSRN) http://www.ssrn.com/en/
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    Abstract

    This paper puts the PIN variable (Probability of INformation-based trading) to test. We ¯nd that for a large set of stocks, the PIN vari- able is lower (albeit insigni¯cantly) in the periods before earnings an- nouncements dates than in the periods after earnings announcements dates. This is inconsistent with the idea of PIN capturing the proba- bility of informed trading

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