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Firm characteristics and information risk

journal contribution
posted on 2010-01-01, 00:00 authored by C Liao, Chien-Ting Lin, L Xu
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.

History

Journal

JASSA : Finsia's quarterly journal of applied finance

Issue

2

Pagination

41 - 47

Publisher

Financial Services Institute of Australasia (FINSIA)

Location

Sydney, N.S.W.

ISSN

0313-5934

Language

eng

Publication classification

C1.1 Refereed article in a scholarly journal

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