Firm characteristics and information risk
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2010
Authors
Liao, C.
Lin, C.T.
Xu, L.
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JASSA, 2010; 2(2):41-47
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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.
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Copyright 2010 Financial Services Institute of Australasia