知情交易概率与风险定价——基于不同PIN测度方法的比较研究

分别采用EKOP模型、VPIN模型和VWPIN模型测度了中国证券市场个股的知情交易概率，并实证检验了知情交易概率因子在资产定价中的作用.研究结果表明，基于物理时间和交易量加权的VWPIN模型结合了经典EKOP模型和VPIN模型的优点，可以更简单地估计个股日内任意时间窗口下的信息不对称程度.进一步，关于资产定价的检验结果表明，在控制相关影响因素之后，采用VWPIN模型估计得到的知情交易概率因子与个股收益率之间呈现显著的正相关性，符合理论预期.

Probability of informed trading and risk pricing: A comparative study on different PIN measures

This paper adopts an EKOP model,VPIN model,and VWPIN model to measure the probability of informed trading( PIN) in China''s stock market,and empirically examines the effect of PIN factors on asset pricing. It is found that the volume-weighted probability of informed trading( VWPIN) model based on clocktime developed in this paper combines the advantages of both classical PIN model and VPIN model. Meanwhile,the VWPIN modelcan conveniently estimate the information asymmetry over any time window during a trading day. Furthermore,the empirical results of the asset pricing suggest that PIN factor estimated by the VWPIN model is significantly and positively correlated with stock returns after controlling other pricing factors,which is consistent with the theoretical implications.