研究期間：10308~10407;Quite a few measures of information asymmetry extracted from security trad- ing data have been developed recently, which are aimed to answer the ques- tions in asset pricing and may have further applications in corporate finance and accounting. Whether or how well they measure information asymme- try, however, is an empirical question. This project will shed some lights on this question by examining the performances of some information asymmetry measures under informational and non-informational events. The informa- tion measures include probability of informed trading (PIN) by Easley et al. (1996), 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). The first-year project proposes to evaluate the performances of the measures before and after the announcements of mergers, which are gener- ally regarded as full of information contents. The second-project propose to examine two types of events. The first type is of national security, which ar- guably affects the liquidity of the market instead of information of individual firms. The second type is the period between Christmas and the New Year, which is the least liquid period of the year. It is hoped that the comparison of these measures in different events may clarify whether they truly measure information asymmetry or only the general liquidity.
