資訊不對稱衡量指標衡量了什麼？;What Do Measures of Information Asymmetry Measure?

NCUIR > School of Management at National Central University > Department of Finance > Research Project > Item 987654321/62843

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/62843

Title:	資訊不對稱衡量指標衡量了什麼？;What Do Measures of Information Asymmetry Measure?
Authors:	賴弘能
Contributors:	國立中央大學財務金融學系
Keywords:	財政（含金融;保險）
Date:	2012-12-01
Issue Date:	2014-03-17 14:05:41 (UTC+8)
Publisher:	行政院國家科學委員會
Abstract:	研究期間：10108~10207;Quite a few measures of information asymmetry extracted from security trading data have been developed recently, which are aimed to answer the questions in asset pricing and may have further applications in corporate finance and accounting. Whether or how well they measure information asymmetry, however, is an empirical question. This project will shed some lights on this question by examining the relations between some information asymmetry measures and firm characteristics which are commonly used to proxy for information asymmetry or liquidity. It extends previous similar studies on the probability of informed trading (PIN) and on the adverse selection component of bid-ask spreads in several ways. Firstly, this project examines a few newly developed measures for information asymmetry, namely, the adjusted probability of informed trading (AdjPIN) by Durate and Young (2009), the error-correcting coefficient of the potentially informed trades (ECIN) by Hwang and Qian (2010), and the volume-synchronized probability of informed trading (VPIN) by Easley, de Prado and O’Hara (2010). Secondly, unlike previous studies that only investigate the relationship between information asymmetry measures and information asymmetry proxies, this project adds liquidity variables unrelated to information asymmetry to the analysis, in the hope that the relationship of these variables and the information measures, or the lack of it, may help clarify the meanings of the measures. Thirdly, the principal component regression is proposed to reduce the number of independent variables and to help with their interpretations.
Relation:	財團法人國家實驗研究院科技政策研究與資訊中心
Appears in Collections:	[Department of Finance] Research Project

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