PIN, adjusted PIN, and PSOS: difference of opinion in the Korean stock market

Kyong Shik Eom; Jangkoo Kang; Kyung Yoon Kwon

doi:10.1111/ajfs.12177

PIN, adjusted PIN, and PSOS: difference of opinion in the Korean stock market

Kyong Shik Eom, Jangkoo Kang, Kyung Yoon Kwon

Accounting And Finance

Research output: Contribution to journal › Article › peer-review

3 Citations (Scopus)

32 Downloads (Pure)

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 language	English
Pages (from-to)	463-490
Number of pages	28
Journal	Asia-Pacific Journal of Financial Studies
Volume	46
Issue number	3
DOIs	https://doi.org/10.1111/ajfs.12177
Publication status	Published - 23 Jun 2017

Keywords

PIN
information risk
asset price models

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Eom-etal-APJFS-2016-PIN-adjusted-PIN-and-PSOS-difference-of-opinionAccepted author manuscript, 632 KB

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title = "PIN, adjusted PIN, and PSOS: difference of opinion in the Korean stock market",

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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T2 - difference of opinion in the Korean stock market

AU - Eom, Kyong Shik

AU - Kang, Jangkoo

AU - Kwon, Kyung Yoon

PY - 2017/6/23

Y1 - 2017/6/23

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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.

KW - PIN

KW - information risk

KW - asset price models

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JO - Asia-Pacific Journal of Financial Studies

JF - Asia-Pacific Journal of Financial Studies

IS - 3

ER -

PIN, adjusted PIN, and PSOS: difference of opinion in the Korean stock market

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Keywords

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