Probability of information-based trading and the January effect

Informed trading, information uncertainty, and price momentum

“…15 To make our results comparable to those of Zhang (2006), we follow his approach and sort stocks based on their past 11-month returns. We have also constructed price momentum portfolios based on past 12-month stock returns, which accounts for a potential 'January PIN effect' (Kang, 2010). Results are, however, qualitatively similar under both sorting methods.…”

Does more information in stock price lead to greater or smaller idiosyncratic return volatility?

“…Our first measure is based on the PIN in Easley et al (2010) and it is widely used in the literature as a measure of price informativeness (e.g., Kang, 2010). It is the market maker's estimate of the probability that a certain trade is based on private information about the stock.…”

Kri̇pto Paralarda Takvi̇m Anomali̇leri̇

“…Some researchers focus on the weekend effect (French, 1980;Lakonishok and Levi, 1982;Keim and Stambaugh, 1984;Thaler, 1987;Connolly, 1989;Lakonishok and Maberly, 1990;Abraham and Ikenberry, 1994;Chow et al, 1997;Brusa et al, 2000;Steeley, 2001;Blau et al, 2009;Christophe et al, 2009;Caporale, 2016) whereas some focus on day of the week effect (Cross ,1973;Aggarwal and Rivoli, 1989;Rystrom and Benson, 1989;Solnik and Bousquet, 1990;Alexakis and Xanthakis, 1995;Dubois and Louvet, 1996;Poshakwale, 1996;Berument and Kiymaz, 2001;Al-Loughani and Chappell, 2001;Demirer and Karan, 2002;Kohers et al, 2004;Ajayi et al, 2004; Turkish Studies -Social Sciences Volume 14 Issue 5, 2019 Basher and Sadorsky, 2006;Berument and Dogan, 2012) in the financial markets. January effect is one of the most studied calendar anomalies in the finance literature (Thaler, 1987;Seyhun, 1988;Haugen and Jorion, 1996;Mehdian and Perry, 2002;Chen and Singal, 2004;Haug and Hirschey, 2006;Moller and Zilca, 2008;Kang, 2010;Agnani and Aray, 2011).…”