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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 林修葳 | |
| dc.contributor.author | Wen-Chyan Ke | en |
| dc.contributor.author | 柯文乾 | zh_TW |
| dc.date.accessioned | 2021-06-15T04:18:02Z | - |
| dc.date.available | 2011-12-29 | |
| dc.date.copyright | 2009-12-29 | |
| dc.date.issued | 2009 | |
| dc.date.submitted | 2009-12-04 | |
| dc.identifier.citation | Ascioglu, A., Hegde, S. P., McDermott, J. B., 2008. Information asymmetry and investment–cash flow sensitivity. Journal of Banking & Finance 32, 1036–1048.
Asquith, P., Oman, R. and Safaya, C., July 2, 2007. Short sales and trade classification Algorithms. Available at SSRN: http://ssrn.com/abstract=951420 Boehmer, E., Grammig, J., Theissen, E., 2007. Estimating the probability of informed trading — does trade misclassification matter? Journal of Financial Markets 10, 26–47. Boulatov, A., Hatch, B.C., Johnson, S.A., Lei, A.Y.C., 2009. Dealer attention, the speed of quote adjustment to information, and net dealer revenue. Journal of Banking & Finance 33, 1531–1542. Brockman, P., Yan, X., 2009. Block ownership and firm-specific information. Journal of Banking & Finance 33, 308–316. Duarte, J., Young, L., 2009. Why is PIN priced? Journal of Financial Economics 91, 119–138. Duarte, J., Young, L., May 18, 2007. Why is PIN priced? Available at SSRN: http://ssrn.com/abstract=971197. Easley, D., Kiefer, N. M., O’Hara, M., Paperman, J., 1996. Liquidity, information, and infrequently traded stocks. Journal of Finance 51, 1405–1436. Easley, D., Kiefer, N. M., O’Hara, M., 1997. One day in the life of a very common stock. The Review of Financial Studies 10(3), 805–835. Easley, D., Hvidkjaer, S., O'Hara, M., July 27, 2005. Factoring information into returns. Journal of Financial and Quantitative Analysis. Forthcoming. Available at SSRN: http://ssrn.com/abstract=556079. Easley, D., Hvidkjaer, S., O’Hara, M., 2002. Is information risk a determinant of asset returns? Journal of Finance 57, 2185–2221. Grammig, J., Schiereck, D., Theissen, E., 2001. Knowing me, knowing you: Trader anonymity and informed trading in parallel markets. Journal of Financial Markets 4(4), 385–412. Kokot, S. 2006. Using trades to estimate sequential trade models. Available at SSRN: http://ssrn.com/abstract=1148142 Lee, C., Radhakrishna, B., 2000. Inferring investor behavior: evidence from TORQ. Journal of Financial Markets 3(2), 83–111. Lee, C., Ready, M., 1991. Inferring trade direction from intraday data. Journal of Finance 46, 733–746. Lin, H.W., Ke, W.C., 2009. A computing bias in estimating the probability of informed trading. Journal of Financial Markets, forthcoming. Mohanram, P., Rajgopal, S., 2008. Is PIN priced risk? Journal of Accounting and Economics. Forthcoming. http://dx.doi.org/10.1016/j.jacceco.2008.10.001. Odders-White, E. R., 2000, On the occurrence and consequences of inaccurate trade classification. Journal of Financial Markets 3(3), 259–286. Visaltanachoti, N., Yang, T., 2009. Speed of convergence to market efficiency for NYSE-listed foreign stocks. Journal of Banking & Finance, forthcoming. Yan, Y., Zhang, S., July 27, 2006. An improved estimation method and empirical properties of the probability of informed trading. Available at SSRN: http://ssrn.com/abstract=890486 | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/45398 | - |
| dc.description.abstract | In spite of the importance to estimate the probability of informed trading (PIN), a widely-used market measure (Easley et al., 1996, 2002), empiricists usually have no access to the data for distinguishing between buyer- and seller-initiated transactions and thus rely on trade classification algorithms. Nevertheless, prevalent algorithms such as Lee-Ready (Lee and Ready, 1991) may cause misclassifications. Consequently, PIN may be underestimated in extant microstructure studies. Aiming at correcting such bias, this paper proposes a remedial approach useful for both original and extended PIN models. We also demonstrate its effectiveness with simulated and historical data. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-15T04:18:02Z (GMT). No. of bitstreams: 1 ntu-98-D92724014-1.pdf: 597222 bytes, checksum: f50b9a31405dfaf74ddfae37ff0f7ad2 (MD5) Previous issue date: 2009 | en |
| dc.description.tableofcontents | 謝 辭..............................................................................................................i
論文口試委員審定書....................................................................................ii Abstract.........................................................................................................iii List of Tables..................................................................................................v 1. Introduction................................................................................................1 2. Mitigating PIN Estimation Bias .................................................................4 3. Simulation Tests for the Effectiveness of Q-Method versus T-Method....10 4. Results of Regressing Spread on PIN Estimate........................................14 5. Employing Q-Method to Extended PIN Models......................................19 6. Additional Empirical Tests for Q-Method................................................22 7. Discussion and Conclusion ......................................................................26 Appendix......................................................................................................29 References....................................................................................................31 | |
| dc.language.iso | en | |
| dc.subject | 知訊交易 | zh_TW |
| dc.subject | 交易買賣方認定 | zh_TW |
| dc.subject | 市場微結構 | zh_TW |
| dc.subject | Trade classification | en |
| dc.subject | Market microstructure | en |
| dc.subject | Informed trading | en |
| dc.title | 錯誤認定交易買賣方引致知訊交易機率估計偏誤之研究 | zh_TW |
| dc.title | Reducing the Impact of Trade Misclassification on Estimating the Probability of Informed Trading | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 98-1 | |
| dc.description.degree | 博士 | |
| dc.contributor.oralexamcommittee | 何淮中,張元晨,張傳章,陳業寧,盧秋玲 | |
| dc.subject.keyword | 知訊交易,市場微結構,交易買賣方認定, | zh_TW |
| dc.subject.keyword | Informed trading,Market microstructure,Trade classification, | en |
| dc.relation.page | 33 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2009-12-08 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 國際企業學研究所 | zh_TW |
| 顯示於系所單位： | 國際企業學系 | |
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