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

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buir.contributor.authorTiniƧ, Murat
dc.citation.epage1459en_US
dc.citation.issueNumber13
dc.citation.spage1446en_US
dc.citation.volumeNumber56
dc.contributor.authorTiniƧ, Muraten_US
dc.contributor.authorSalih, A.en_US
dc.date.accessioned2020-02-13T07:14:47Z
dc.date.available2020-02-13T07:14:47Z
dc.date.issued2020-01
dc.departmentDepartment of Managementen_US
dc.description.abstractThis 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.en_US
dc.identifier.doi10.1080/00036846.2019.1676386en_US
dc.identifier.eissn1466-4283
dc.identifier.issn0003-6846
dc.identifier.urihttp://hdl.handle.net/11693/53327
dc.language.isoEnglishen_US
dc.publisherRoutledgeen_US
dc.relation.isversionofhttps://dx.doi.org/10.1080/00036846.2019.1676386en_US
dc.source.titleApplied Economicsen_US
dc.subjectInformation asymmetryen_US
dc.subjectMarket microstructureen_US
dc.subjectBorsa istanbulen_US
dc.subjectAsset pricingen_US
dc.titleInformed trading, order flow shocks and the cross section of expected returns in Borsa Istanbulen_US
dc.typeArticleen_US

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