The measure applied in the robustness section of our paper “Dividend Hibernation and Future Earnings: When No Dividend News Is Good News”.
I have estimated the basic Probability of Informed Trading (PIN) following Easley, Hvidkjaer, and O'Hara (2002). I apply Lee and Ready (1991) method to infer trade direction by applying a 1-second rule (Henker and Wang, 2006). Then, use the output from the first stag estimation to estimate PIN according to procedure outlined in Easley, Hvidkjaer, and O'Hara (2002).
I apply The PIN measure applied in the robustness section of our paper “Dividend Hibernation and Future Earnings: When No Dividend News Is Good News”.
The sample covers all NYSE/Amex common stocks in 2002-2014 for which I could obtain estimates, extending the yearly PIN measures available at Soeren Hvidkjaer's website (from 1983-2001).
The PIN data is available at quarterly (1993Q1-2014Q4) and annual (1984-2014) frequencies upon request. Please send an email to Bardia Khorsand.