A comparison of some structural models of private information arrival

Jefferson Duarte, Edwin Hu and Lance Young

Journal of Financial Economics, 2020, vol. 135, issue 3, 795-815

Abstract: We show that the PIN and the Duarte and Young (2009) (APIN) models do not match the variability of noise trade in the data and that this limitation has severe implications for how these models identify private information. We examine two alternatives to these models, the Generalized PIN model (GPIN) and the Odders-White and Ready (2008) model (OWR). Our tests indicate that measures of private information based on the OWR and GPIN models are promising alternatives to the APIN’s Adj.PIN and PIN.

Keywords: Liquidity; Information asymmetry (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:135:y:2020:i:3:p:795-815

DOI: 10.1016/j.jfineco.2019.08.005

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