Probability of Informed Trading and Momentum‏

• Main Authors: Yi-chun Chen, 陳怡君
• Other Authors: Ruei-Lin Lee
• Format: Others
• Language: en_US
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/51338431478598803696

碩士 === 朝陽科技大學 === 財務金融系碩士班 === 100 === This is the first study which combines the two concepts together, where the PIN is added to the momentum effect and where the asymmetry of the momentum effect is compared to the PIN-Momentum to investigate whether the PIN-Momentum strategy can increase profits or not. We use PIN model which is proposed by Easley et al. (1996) as a major factor to test whether the information should be priced or not. Form our result, we find that the information will affect return and we suggests that it is an important factor to predict future return. We hope that this study can bring some interesting implications for future research.