We show that the probability of information-based trade (PIN) played a significant role in explaining monthly returns on Shanghai A shares over the period 2001 to 2006. In particular, PIN, as approximated by order imbalance as a proportion of total transactions, appears to explain returns even after controlling for risk in the much-cited Fama and French (1992) three-factor model. However, we also find that some of the PIN effect appears to be indistinguishable from a turnover effect.
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机译：我们表明，基于信息的交易（PIN）的概率在解释2001年至2006年上海A股的月收益中起着重要作用。特别是，按订单失衡在总交易中所占比例近似的PIN出现了在被广泛引用的Fama and French（1992）三因素模型中，即使在控制了风险之后也能解释收益。但是，我们还发现，某些PIN效应似乎与营业额效应没有区别。
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