Is%20Information%20Risk%20Priced?%20Evidence%20from%20the%20Price%20Discovery%20of%20Large%20Trades

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Is Information Risk Priced? Evidence from the
Price Discovery of Large Trades

• Discussed by
• Yi-Tsung Lee
• NCCU

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Brief Summary

• By using VECM, this paper develops an information
  risk measure ECIN based on the price discovery of
  large trades.

• This paper tries to provide evidences on the
  pricing impact, robust check,and so on.

• The authors claim that ECIN dominates PIN in
  asset pricing test and

that the pricing impact of ECIN is robust
after controlling illiquidity effects.
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Two Suggestions

• Does ECIN really dominate PIN?
• 2. How about the behavior pattern of ECIN around
  MA events, ?

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• 1. Does ECIN really dominate PIN?

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JA-test

• Developed by Fisher and McAleer (1981, JE)
• To determine whether ECIN or PIN is more
  associated with stock return

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2. How about the behavior pattern of ECIN around
MA events, ?

• Aktas et al. (2007) find that for MA
  announcement the behavior of PIN is inconsistent
  with the evidence of information leakages during
  the pre-event period.