دانلود رایگان ترجمه مقاله ویژگی های اطلاعات، عدم تقارن اطلاعات و بازده های بخش صنعت (نشریه الزویر ۲۰۱۴)

ویژگی های اطلاعات، عدم تقارن اطلاعات و بازده های بخش صنعت

Information attributes, information asymmetry and industry sector returns

Abstract

We examine whether the probability of informed trading (‘PIN’) is a determinant of stock returns in Australia, an alternative market with considerably different information attributes to the U.S. Uniquely, we contrast PIN’s price effect for the country’s historically dichotomous sectors, resources and industrials. Using data for the period from 1996 to 2010, we find a significantly positive relationship between PIN and expected returns among industrials sector stocks, providing evidence in support of Easley and O’Hara (2004). We observe no PIN premium among resources sector stocks and among those with no record of operating revenues, both notable for their speculative nature and uncertainty about true asset values. Our results are consistent with previous empirical evidence that documents strong investor behavioural biases in valuing extremely uncertain stocks or hard-to-value stocks (Kumar, 2009). Our findings shed light on the existing mixed evidence that a strong PIN premium exists in NYSE and AMEX but not in NASDAQ where high-tech stocks are prevalent, and suggest that caution is needed when applying PIN in the pricing of highly speculative stocks.

۱ Introduction

The probability of informed trading (‘PIN’), a microstructure measure of information asymmetry developed by Easley et al. (1996), has ignited great interest among researchers, and has opened up extensive avenues for empirical studies in asset pricing, corporate finance and market microstructure. One of the most topical issues is whether PIN is a determinant of asset returns.

Easley and O’Hara (2004) propose that, holding other things identical, an asset with more private information and less public information is regarded as more risky and therefore investors (particularly uninformed investors) will require a higher expected return. Thus PIN, as a proxy for the risk of privately informed trade, is a determinant of stock returns. Easley et al. (2002) (‘EHO’) document the existence of a premium for this risk among stocks listed in New York Stock Exchange (NYSE), observing that those stocks with higher PIN have higher expected returns. Extending EHO’s sample by including the stocks listed on American Stock Exchange (AMEX), Easley et al. (2010) provide further empirical evidence that PIN is an important determinant of asset returns controlling for the effects of the Fama-French (1992) three risk factors as well as momentum and liquidity factors. On the other hand, Mohanram and Rajgopal (2009) find that the PIN premium only exists for one 5-year period within the EHO sample, and Duarte and Young (2009) show that PIN is priced because of its illiquidity component rather than its information asymmetry component. Fuller et al. (2010) find little evidence that excess returns are increasing in PIN for the stocks listed on the NASDAQ, a stock exchange noted for its predominant high-tech sector. They suggest that the weak PIN-price effect may be the result of differences between the NYSE and NASDAQ in market structure or in the characteristics of their component stocks. The mixed evidence of PIN’s influence on asset returns in U.S. markets calls for further empirical studies using alternative markets and motivates us to examine the price effect of PIN in Australia, a market distinguished by its sizeable resources sector, by different trading mechanisms and by different information attributes from the U.S. markets. Furthermore, we benefit from using Australian data to conduct this kind of empirical study because, in Australia, there is no market maker and no on-market trades occur inside the spread. Therefore trade direction (buyer-initiated versus seller-initiated), which is required for the PIN estimate, is identified without introducing estimation biases that generally exist in the empirical studies for the U.S. markets (Odders-White, 2000; Boehmer et al., 2007).