Use this URL to cite or link to this record in EThOS: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.659214 |
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Title: | The relationship between information asymmetry and liquidity | ||||
Author: | Qiu, Ting |
ISNI:
0000 0004 5359 4340
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Awarding Body: | University of Nottingham | ||||
Current Institution: | University of Nottingham | ||||
Date of Award: | 2014 | ||||
Availability of Full Text: |
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Abstract: | |||||
This thesis aims at investigating the relationship between liquidity and information
asymmetry. Recent studies try to incorporate liquidity and information
risk factors into asset pricing models but whether just one or both should be
priced remains uncertain.
Since the introduction of the probability of information-based trading (PIN)
model (Easley et al., 1996) evidence has been offered to prove that it is a
risk factor and it has been adopted as a highly convenient and plausible
measure of private information and information risk. In order to carry out our
investigation, we use PIN to measure the level of information asymmetry in
comparison with seven well-known liquidity measures. Our results indicate
shared characteristics with these measures. We find that within our sample
period of 1984-2002 PIN may serve as a liquidity indicator but is questionable
as a separate risk-based factor.
We compute PPIN, a proxy of PIN proposed by Aslan et al. (2011), in
order to extend our sample period to 1969-2009 and we investigate PPIN
against the seven well-known liquidity measures. We provide evidence
of diminishing information asymmetry. We find PPIN inconsistent with
asymmetric information as a priced risk factor but a good predictor of future
returns.
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Supervisor: | Not available | Sponsor: | Not available | ||
Qualification Name: | Thesis (Ph.D.) | Qualification Level: | Doctoral | ||
EThOS ID: | uk.bl.ethos.659214 | DOI: | Not available | ||
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