The PIN anomaly around M&A announcements
(2007) Journal of Financial Markets — Vol. 10, p. 169-191 (2007)
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- Authors
- Abstract
- The probability of information-based trading (PIN) introduced by Easley and O’Hara (1987) has been increasingly used in empirical research in finance. We investigate its behavior around a sample of merger and acquisition announcements that took place on Euronext Paris between 1995 and 2000. The behavior of the PIN seems to be in contradiction with clear evidence of information leakages in our sample during the pre-event period. We investigate the reasons for its unusual behavior and raise some concerns about its use as an information-based trading indicator, at least around major corporate events.
- Affiliations
Louvain School of Management Accounting & Finance
Citations
Aktas, N., Van Oppens, H., Declerck, F., & de Bodt, E. (2007). The PIN anomaly around M&A announcements. Journal of Financial Markets, 10, 169-191. https://doi.org/10.1016/j.finmar.2006.09.003 (Original work published 2007)