Asymmetric information, risks and stock returns.

Asymmetric information, risks and stock returns.

This research article seeks to investigate the relation between Probability of Informed Trading (PIN) and various factors in the context of the Singapore Market.The EKOP model by Easley and O’Hara (1992, 1996, 1997a, 1997b) is used to estimate the PIN of each stock in the Singapore Stock Exchange (S...

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Main Authors: Chan, Winnie Mei Yi., Chung, Yong Nian., Poon, Wai Leong.
Other Authors: Charoenwong, Charlie
Format: Final Year Project
Published: 2008
Subjects:
DRNTU::Business::Finance::Dividends
Online Access:http://hdl.handle.net/10356/10041
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Institution: Nanyang Technological University
id sg-ntu-dr.10356-10041
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spelling sg-ntu-dr.10356-100412023-05-19T03:30:05Z Asymmetric information, risks and stock returns. Chan, Winnie Mei Yi. Chung, Yong Nian. Poon, Wai Leong. Charoenwong, Charlie Nanyang Business School DRNTU::Business::Finance::Dividends This research article seeks to investigate the relation between Probability of Informed Trading (PIN) and various factors in the context of the Singapore Market.The EKOP model by Easley and O’Hara (1992, 1996, 1997a, 1997b) is used to estimate the PIN of each stock in the Singapore Stock Exchange (SGX). We then determine how this PIN differs across sectors, each month and each day of the week. Subsequently, available information on the stocks is used to estimate their size using average market capitalization, growth opportunity using average market capitalization over book equity ratio and if these stocks are from Government-Linked Companies (GLC). 2008-09-24T07:39:09Z 2008-09-24T07:39:09Z 2006 2006 Final Year Project (FYP) http://hdl.handle.net/10356/10041 Nanyang Technological University application/pdf
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
topic DRNTU::Business::Finance::Dividends
spellingShingle DRNTU::Business::Finance::Dividends
Chan, Winnie Mei Yi.
Chung, Yong Nian.
Poon, Wai Leong.
Asymmetric information, risks and stock returns.
description This research article seeks to investigate the relation between Probability of Informed Trading (PIN) and various factors in the context of the Singapore Market.The EKOP model by Easley and O’Hara (1992, 1996, 1997a, 1997b) is used to estimate the PIN of each stock in the Singapore Stock Exchange (SGX). We then determine how this PIN differs across sectors, each month and each day of the week. Subsequently, available information on the stocks is used to estimate their size using average market capitalization, growth opportunity using average market capitalization over book equity ratio and if these stocks are from Government-Linked Companies (GLC).
author2 Charoenwong, Charlie
author_facet Charoenwong, Charlie
Chan, Winnie Mei Yi.
Chung, Yong Nian.
Poon, Wai Leong.
format Final Year Project
author Chan, Winnie Mei Yi.
Chung, Yong Nian.
Poon, Wai Leong.
author_sort Chan, Winnie Mei Yi.
title Asymmetric information, risks and stock returns.
title_short Asymmetric information, risks and stock returns.
title_full Asymmetric information, risks and stock returns.
title_fullStr Asymmetric information, risks and stock returns.
title_full_unstemmed Asymmetric information, risks and stock returns.
title_sort asymmetric information, risks and stock returns.
publishDate 2008
url http://hdl.handle.net/10356/10041
_version_ 1770564435999457280

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