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What does PIN identify? Evidence from the T-bill market
Authors:Ozgur AkayKen B Cyree  Mark D GriffithsDrew B Winters
Institution:a Division of Personal Financial Planning, Texas Tech University, Lubbock, TX 79409, USA
b School of Business Administration, University of Mississippi, University, MS 38677, USA
c Farmer School of Business, Miami University, Oxford, OH 45056, USA
d Rawls College of Business, Texas Tech University, Lubbock, TX 79409, USA
Abstract:The probability of informed trading (PIN) measure has been increasingly used in empirical research in finance. However, there is a growing debate as to whether PIN measures information-based or liquidity-based trading. We contribute to the discussion by estimating PIN using transaction data for one-month T-bills. Our PIN estimates exceed those reported for equities, despite it being unlikely that the probability of informed trading is higher in T-bills than equities. We conclude that PIN identifies trading clusters and that the source of the clustering depends on the economics of the market. The economics of the T-bill market suggest discretionary liquidity traders are the likely source of the clustering.
Keywords:G10  G12
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