A SURVEY ON INFORMATION RISK USING MARKET MICROSTRUCTURE MODELS

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RAEE REZA; EYVAZLU REZA; MOHAMMADI SHAPOUR

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Journal: Management Research in Iran Year:2013 | Volume:17 | Issue:3 Page(s): 71-85

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Title

A SURVEY ON INFORMATION RISK USING MARKET MICROSTRUCTURE MODELS

Author(s)

RAEE REZA | EYVAZLU REZA | MOHAMMADI SHAPOUR | Issue Writer Certificate

Keywords

PINQ2

MICROSTRUCTURE MODELSQ2

INFORMATION BASED MODELSQ2

ASSET PRICINGQ2

FIRM SIZEQ2

Abstract

Classic ASSET PRICING models assume that distribution of information is symmetric and suppose similar trade-off between risk and return among the investors. In terms of information asymmetry in which some traders may have private information, investors will be faced with information risk; this is the risk of trading with informed traders. Easley et al. (2002) introduced probability of information-based trade (PIN) as information risk measurement, and developed a microstructure model for estimating the PIN. This paper examines information risk pricing in Tehran Stock Exchange to see whether PIN can explain stock return in TSE. On the other hand, we investigated the relationship between firm PIN. The results showed that PIN (indicator of information risk) can explain stock return. A 10% increase in PIN leads to 2.8% increase in stock return. Also a negative relationship wall found between FIRM SIZE and PIN.

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APA: Copy

RAEE, REZA, EYVAZLU, REZA, & MOHAMMADI, SHAPOUR. (2013). A SURVEY ON INFORMATION RISK USING MARKET MICROSTRUCTURE MODELS. MANAGEMENT RESEARCH IN IRAN (MODARES HUMAN SCIENCES), 17(3), 71-85. SID. https://sid.ir/paper/391246/en

Vancouver: Copy

RAEE REZA, EYVAZLU REZA, MOHAMMADI SHAPOUR. A SURVEY ON INFORMATION RISK USING MARKET MICROSTRUCTURE MODELS. MANAGEMENT RESEARCH IN IRAN (MODARES HUMAN SCIENCES)[Internet]. 2013;17(3):71-85. Available from: https://sid.ir/paper/391246/en

IEEE: Copy

REZA RAEE, REZA EYVAZLU, and SHAPOUR MOHAMMADI, “A SURVEY ON INFORMATION RISK USING MARKET MICROSTRUCTURE MODELS,” MANAGEMENT RESEARCH IN IRAN (MODARES HUMAN SCIENCES), vol. 17, no. 3, pp. 71–85, 2013, [Online]. Available: https://sid.ir/paper/391246/en

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