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


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    题名: Information Pricing Factor or Computing Bias
    作者: Ke, Wen-Chyan;Lin, Hsiou-Wei William
    贡献者: Department of Finance and Cooperative Management National Taipei University;Department of International Business, National Taiwan University, Taipei, Taiwan
    日期: 2013
    上传时间: 2013-08-07 09:38:00 (UTC+8)
    出版者: Department of Finance and Cooperative Management National Taipei University;Department of International Business, National Taiwan University, Taipei, Taiwan
    摘要: 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.
    關聯: 2013中部學術財金研討會 論文發表
    显示于类别:[財務金融學系] 會議論文

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