Short selling and the pricing of PIN information risk

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2024-07-29 DOI:10.1016/j.finmar.2024.100931

Chen Chen, Qiqi Liang, Chris Stivers, Licheng Sun

引用次数: 0

Abstract

We present evidence that the pricing of the probability of informed trading (PIN) information risk varies substantially with stocks’ short selling environment. For lightly shorted stocks, their risk-adjusted returns (alphas) increase reliably with both the good news (PIN_G) and bad news (PIN_B) components of their PIN. The positive PIN-alpha relations decline and then disappear as stocks’ shorting activity increases. Our findings are consistently evident with shorting-interest, shorting-flow, and the probability of informed shorting, and are more prominent for smaller-cap stocks. Our findings support theories where asymmetric information with imperfectly competitive markets can impact stocks’ cost of equity.

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卖空与 PIN 信息风险定价

我们提出的证据表明，知情交易概率（PIN）信息风险的定价与股票的卖空环境有很大不同。对于轻度做空的股票，其风险调整收益率（alphas）会随着其 PIN 的好消息（PIN_G）和坏消息（PIN_B）部分的增加而增加。随着股票做空活动的增加，正的 PIN-α 关系会下降，然后消失。我们的发现与做空兴趣、做空流量和知情做空概率一致，并且在小盘股中更为突出。我们的研究结果支持不完全竞争市场的信息不对称会影响股票股权成本的理论。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.