Prize for information: an empirical investigation of the microstructure stock market of Brazil
DOI:
https://doi.org/10.1590/0101-416145366fngKeywords:
Probability of informed negotiation, Markov-switching models, Portfolios selection, Tick-test algorithmAbstract
This article makes use of tick-by-tick data to estimate the probability of informed trading (PIN) to IBRX stocks. We add PIN in Fama French (1993) method to separate portfolios and explain their returns. Our evidence points out we may find some portfolios, which have statistically higher return and lower risk in a Markov-switching regression. The results demonstrate PIN is an important factor in explaining portfolio returns.
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Copyright (c) 2015 Fábio Massaúd Caetano, Nelson Seixas dos Santos, Gilberto de Oliveira Kloeckner
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Atualizado em 14/08/2025