A1_Does information risk affect the implied cost of equitycapital analysis of PIN and adjusted PIN.docx

Does information risk affect the implied cost of equitycapital? An analysis of PIN and adjusted PIN没有信息风险影响的权益资本成本的暗示？ PIN码的分析和调整的PIN$AbstractUsing a unique dataset of Korean listed companies for which trade initiators are correctlyidenti?able, we estimate bias-free PIN (probability of informed trading) that is no longersubject to the trade misspeci?cation problem and test whether it is related to expectedreturns. Unlike prior studies, we ?nd that bias-free AdjPIN, the adjusted PIN purged of aiquidity component, is positively related to implied cost of equity. Our ?ndings suggestthat the errors in PIN variables hamper a proper identi?cation of PIN pricing in priorstudies.摘要：采用韩国上市公司为其交易发起人的独特数据集都正确可识别的，我们估计无偏见的PIN（知情交易概率），即不再受贸易误设问题，并测试是否与预期回报。不像以前的研究中，我们发现，无偏差AdjPIN，调整后的PIN吹扫的流动性成分，是正相关的股票的隐含成本。我们的研究结果表明在PIN变量中的错误妨碍过往适当的识别密码定价研究。1.IntroductionUsing a unique dataset of Korean listed companies for which trade initiators are correctly identi?able, we address aninconclusive question: is the probability of informed trading (PIN) priced? Easley et al. (2002) show that an empiricalconstruct for information risk, PIN, is positively and signi?cantly related to future realized returns. In contrast, Mohanramand Rajgopal (2009) provide counterevidence, using a two-stage cross-sectional regression methodology, that PIN is notpriced. Given the theoretical appeal of the PIN construct and its prevalent use as a proxy for information risk in accountingand ?nance literature, it is surprising that the question of whether PIN is priced remains inconclusive. In this paper, wedocument that PIN is priced if estimated accurately and that measurement errors in the PIN estimate could have hinderedcorrect inferences in prior studies.1。介绍采用韩国上市公司为其贸易的引发剂是正确识别的一个独特的数据集，我们解决了尚无定论的问题：是知情交易密码（PIN）的概率定价？伊斯利等。（2002）表明，一个经验建构信息风险，PIN码，是积极而显著有关未来实现的收益。与此相反，Mohanram和Rajgopal（2009）提供反证，使用两阶段的横截面回归方法，该PIN码是不定价。由于PIN结构的理论诉求和普遍使用，作为会计信息风险代理和金融学文献，令人惊讶的是的PIN码是否定价的问题仍未有定论。在本文中，我们如果估计准确，在PIN估计，测量误差可能会阻碍该PIN售