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首页> 外文会议>2009 China international conference in finance >Is Information Risk Priced? Evidence from the Price Discovery of Large Trades
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Is Information Risk Priced? Evidence from the Price Discovery of Large Trades

机译：信息风险定价吗？大型交易价格发现的证据

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摘要

We develop an information risk measure that is based on the price discovery of large trades, estimated via the vector error‐correction model. The measure is built on the observations that informed traders prefer to trade in large size and that prices of large trades and small trades are co‐integrated. Using this new measure, we show that information risk is priced. Furthermore, the pricing impact of this information risk measure subsumes the impacts of both PIN and Amihud’s ILLIQ. The latter result not only demonstrates the superiority of our information risk measure, it also suggests that the liquidity effect captured by ILLIQ has its origin in the asymmetric information.
机译：我们开发了一种信息风险度量，该度量基于通过矢量误差校正模型估算的大笔交易的价格发现。该度量基于以下观察结果：知情交易者更喜欢进行大宗交易，并且将大宗交易和小宗交易的价格进行了协整。使用这种新方法，我们可以证明信息风险是可以定价的。此外，此信息风险度量的定价影响包括PIN和Amihud的ILLIQ的影响。后一个结果不仅证明了我们的信息风险度量的优越性，还表明ILLIQ捕获的流动性效应起源于不对称信息。

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