We decompose PIN, the Probability of Informed Trading, into components that capture informed trading on good news (PIN G) and on bad news (PIN B), and provide new evidence that PIN and its components capture informed trading around quarterly earnings announcements. Our principal result concerns asymmetry in the pricing of the two PIN components: we find that the return premium for PIN B is large and highly significant, while that for PIN G is much smaller and is statistically insignificant.
Keywords: Probability of Informed Trading (PIN); Decomposition of PIN; Good-News PIN; Bad-News PIN; CAR; SUE; Determinants of the PIN-Related Measures; Asset Pricing
