Information Asymmetry in Warrants and their Underlying Stocks on the Stock Exchange of Thailand
This paper examines the informational role of warrants based on the unique order data from the Stock Exchange of Thailand, where both warrants and stocks are traded under the same market structure and where warrants are as liquid as stocks. The estimated probability of informed trading (PIN) in warr...
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sg-smu-ink.lkcsb_research-45962014-01-15T05:42:05Z Information Asymmetry in Warrants and their Underlying Stocks on the Stock Exchange of Thailand Visaltanachoti, N. Charoenwong, C. DING, David K. This paper examines the informational role of warrants based on the unique order data from the Stock Exchange of Thailand, where both warrants and stocks are traded under the same market structure and where warrants are as liquid as stocks. The estimated probability of informed trading (PIN) in warrants is found to be statistically higher than their underlying stocks regardless of order submission type and order size. The PIN explains a substantial portion of the cross-sectional variation in the opening spread beyond trading volume and minimum tick size. We find evidence that a signed warrant trade contains information about the future stock price and that warrants with a higher PIN have greater predictive powers. 2011-06-01T07:00:00Z text https://ink.library.smu.edu.sg/lkcsb_research/3597 info:doi/10.1016/j.jempfin.2011.02.001 Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University Probability of informed trading (PIN) Warrants Information asymmetry Price discovery Thailand Finance and Financial Management |
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Probability of informed trading (PIN) Warrants Information asymmetry Price discovery Thailand Finance and Financial Management Visaltanachoti, N. Charoenwong, C. DING, David K. Information Asymmetry in Warrants and their Underlying Stocks on the Stock Exchange of Thailand |
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This paper examines the informational role of warrants based on the unique order data from the Stock Exchange of Thailand, where both warrants and stocks are traded under the same market structure and where warrants are as liquid as stocks. The estimated probability of informed trading (PIN) in warrants is found to be statistically higher than their underlying stocks regardless of order submission type and order size. The PIN explains a substantial portion of the cross-sectional variation in the opening spread beyond trading volume and minimum tick size. We find evidence that a signed warrant trade contains information about the future stock price and that warrants with a higher PIN have greater predictive powers. |
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Visaltanachoti, N. Charoenwong, C. DING, David K. |
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Visaltanachoti, N. Charoenwong, C. DING, David K. |
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Visaltanachoti, N. |
title |
Information Asymmetry in Warrants and their Underlying Stocks on the Stock Exchange of Thailand |
title_short |
Information Asymmetry in Warrants and their Underlying Stocks on the Stock Exchange of Thailand |
title_full |
Information Asymmetry in Warrants and their Underlying Stocks on the Stock Exchange of Thailand |
title_fullStr |
Information Asymmetry in Warrants and their Underlying Stocks on the Stock Exchange of Thailand |
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Information Asymmetry in Warrants and their Underlying Stocks on the Stock Exchange of Thailand |
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information asymmetry in warrants and their underlying stocks on the stock exchange of thailand |
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Institutional Knowledge at Singapore Management University |
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2011 |
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https://ink.library.smu.edu.sg/lkcsb_research/3597 |
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