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    ASIA unversity > 管理學院 > 財務金融學系 > 會議論文 >  Item 310904400/63796


    Please use this identifier to cite or link to this item: http://asiair.asia.edu.tw/ir/handle/310904400/63796


    Title: Information Pricing Factor or Computing Bias
    Authors: Ke, Wen-Chyan;Lin, Hsiou-Wei William
    Contributors: Department of Finance and Cooperative Management National Taipei University;Department of International Business, National Taiwan University, Taipei, Taiwan
    Date: 2013
    Issue Date: 2013-08-07 09:38:00 (UTC+8)
    Publisher: Department of Finance and Cooperative Management National Taipei University;Department of International Business, National Taiwan University, Taipei, Taiwan
    Abstract: The prior studies note that the floating-point exception (FPE) in computing may lead to under-estimation of the probability of informed trading (PIN), which interests market microstructure empiricists. This study further finds that the FPE bias may result in the underestimated coefficients of market beta in the regression for assets pricing. Namely, the FPE bias may contaminate the tests for pricing, and should be eliminated in the further studies. After eliminating the FPE bias, we document that the PIN factor appear to be a significant factor only during the period of medium level of market liquidity.
    Relation: 2013中部學術財金研討會 論文發表
    Appears in Collections:[財務金融學系] 會議論文

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