A comparison of some structural models of private information arrival

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)...

Full description

Saved in:
Bibliographic Details
Published in:Journal of financial economics 2020-03, Vol.135 (3), p.795-815
Main Authors: Duarte, Jefferson, Hu, Edwin, Young, Lance
Format: Article
Language:English
Subjects:
Confidentiality
Information asymmetry
Information management
Liquidity
Noise
Structural models
Variability
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary: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.
ISSN:0304-405X
1879-2774
DOI:10.1016/j.jfineco.2019.08.005