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Informed trading, order flow shocks and the cross section of expected returns in Borsa Istanbul

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Date
2020
Author
Tiniç, Murat
Salih, Aslihan
Abstract
This paper examines the relationship between information asymmetry and stock returns in Borsa Istanbul. For all stocks that are traded in Borsa Istanbul between March 2005 and April 2017, we estimate the probability of informed trading (PIN) to proxy for information asymmetry.? Firm-level cross-sectional regressions indicate a statistically insignificant relationship between PIN estimates and future returns. Moreover, univariate and multivariate portfolio analyses assert that investors that hold stocks that have high information asymmetry do not obtain significant future returns. Consequently, our results suggest that information asymmetry proxied by PIN is a firm-specific risk and can be eliminated with portfolio diversification. Findings are robust to different factorizations in estimating PIN and free of any bias due to trade classification algorithms, boundary solutions, floating-point exceptions and symmetric?order flow shocks.

Source

Applied Economics

Volume

OCT 2019

Pages

1-14

URI

https://doi.org/10.1080/00036846.2019.1676386
https://hdl.handle.net/20.500.12469/2976

Collections

  • Araştırma Çıktıları / Scopus [1482]
  • Araştırma Çıktıları / WOS [1407]
  • Uluslararası Ticaret ve Finans / International Trade and Finance [42]

Keywords

Information asymmetry
market microstructure
Borsa istanbul
Asset pricing

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