PIN, adjusted PIN, and PSOS

difference of opinion in the Korean stock market

Kyong Shik Eom, Jangkoo Kang, Kyung Yoon Kwon

Research output: Contribution to journalArticle

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Abstract

Duarte and Young (2009) decompose the probability of information‐based trading PIN into adjusted PIN (AdjPIN) and probability of trading caused by symmetric order flow shocks (PSOS). We explore sources of PSOS in the Korean stock market and examine the relation between PSOS and stock returns. Using transaction data with trader types and initiator information, we find that AdjPIN is not priced, while PSOS is negatively priced, a finding that Lai et al. (2014) label “puzzling.” We find that the negative price of PSOS comes from differences of opinion among domestic individual investors on the significance of public news.
Original languageEnglish
Pages (from-to)463-490
Number of pages28
JournalAsia-Pacific Journal of Financial Studies
Volume46
Issue number3
DOIs
Publication statusPublished - 23 Jun 2017

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Korean stock market
News
Transaction data
Order flow
Stock returns
Individual investors
Traders

Keywords

  • PIN
  • information risk
  • asset price models

Cite this

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abstract = "Duarte and Young (2009) decompose the probability of information‐based trading PIN into adjusted PIN (AdjPIN) and probability of trading caused by symmetric order flow shocks (PSOS). We explore sources of PSOS in the Korean stock market and examine the relation between PSOS and stock returns. Using transaction data with trader types and initiator information, we find that AdjPIN is not priced, while PSOS is negatively priced, a finding that Lai et al. (2014) label “puzzling.” We find that the negative price of PSOS comes from differences of opinion among domestic individual investors on the significance of public news.",
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PIN, adjusted PIN, and PSOS : difference of opinion in the Korean stock market. / Eom, Kyong Shik; Kang, Jangkoo; Kwon, Kyung Yoon.

In: Asia-Pacific Journal of Financial Studies, Vol. 46, No. 3, 23.06.2017, p. 463-490.

Research output: Contribution to journalArticle

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AB - Duarte and Young (2009) decompose the probability of information‐based trading PIN into adjusted PIN (AdjPIN) and probability of trading caused by symmetric order flow shocks (PSOS). We explore sources of PSOS in the Korean stock market and examine the relation between PSOS and stock returns. Using transaction data with trader types and initiator information, we find that AdjPIN is not priced, while PSOS is negatively priced, a finding that Lai et al. (2014) label “puzzling.” We find that the negative price of PSOS comes from differences of opinion among domestic individual investors on the significance of public news.

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KW - asset price models

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