JASSA : Finsia's quarterly journal of applied finance
Financial Services Institute of Australasia (FINSIA)
Place of publication
Following the work of Easley et al. (2002) in documenting the effect of private information on cross-sectional stock returns, we examine the relationship between a firm’s fundamental characteristics and its probability of information-based trading (PIN). We find that asset turnover and dividend yields are important firm characteristics that influence a firm’s PIN. The findings also offer an alternative explanation as to why firm characteristics are informative about asset prices.
Field of Research
159999 Commerce, Management, Tourism and Services not elsewhere classified
Socio Economic Objective
970115 Expanding Knowledge in Commerce, Management, Tourism and Services