Table 1: Summary statistics for DPIN measures and firm characteristics (a) Yearly cross-sectional DPIN across all years (b) DPIN and firm characteristics The DPIN_BASE measure yields adequate cross-sectional variation across stocks

Table 1: Summary statistics for DPIN measures and firm characteristics (a) Yearly cross-sectional DPIN across all years (b) DPIN and firm characteristics DPIN_DISP distribution mimics that of DPIN_BASE, but with slightly less than half the mean and median

Table 1: Summary statistics for DPIN measures and firm characteristics (a) Yearly cross-sectional DPIN across all years (b) DPIN and firm characteristics DPIN_SIZE distribution mimics that of PIN (Easley et al. 2002) with similar mean, median, left skew, and long right tail

MeasureMeanMedianSTDMinMax DPIN BASE DPIN DISP DPIN SIZE Table 1: Summary statistics for DPIN measures and firm characteristics (a) Yearly cross-sectional DPIN across all years (b) DPIN and firm characteristics The means and medians of the refined DPINs are quite close to the PIN measure of Easley et al. (2002): and 0.185

Yearly C-S average DPINs mimic that of PIN (Easley et al. 2002) with little year-to-year variation or with much stability over time

Table 1: Summary statistics for DPIN measures and firm characteristics (a) Yearly cross-sectional DPIN across all years (b) DPIN and firm characteristics Stocks with higher DPIN are more opaque as they are associated with much smaller firm size, lower volume, and higher illiquidity MeasureHigh/Low No. FirmsSizeIlliquidityVolume DPIN BASE High1,899819, ,740 Low2,3065,448, ,708 DPIN DISP High2,0461,265, ,587 Low2,1595,340, ,050 DPIN SIZE High1,721534, ,367 Low2,4845,313, ,898

The STDs are much higher and the medians for the two refined DPINs are zero, hence no information events for many intervals MeasureMeanMedianSTD25th %75th % DPIN BASE DPIN DISP DPIN SIZE

The U-shaped intraday pattern is consistent with the clustering of uninformed trading and the corresponding strategic informed trading (Kyle 1985, Admati and Pfleiderer 1988)

Table 1: Summary statistics for DPIN measures and firm characteristics (a) Yearly cross-sectional DPIN across all years (b) DPIN and firm characteristics Stealth trading: informed traders break up large orders into a series of small trades to hide their information (Barclay and Warner 1993, Chakravarty 2001, Alexander and Peterson 2007)

Table 1: Summary statistics for DPIN measures and firm characteristics (a) Yearly cross-sectional DPIN across all years (b) DPIN and firm characteristics FSRV DPIN BASE 0.558*** (28.55) DPIN BASE, t *** (24.29) DPIN DISP 0.270*** (16.91) DPIN DISP,t *** (7.64) DPIN SIZE 0.640*** (21.63) DPIN SIZE,t *** (21.90) Wald1411.5***343.24*** ***  DPIN and its lag are jointly significant at the 1% level  Informed trading causes firm-specific return variation – Roll √

Table 1: Summary statistics for DPIN measures and firm characteristics (a) Yearly cross-sectional DPIN across all years (b) DPIN and firm characteristics  ∆ DPIN and its lag are jointly significant at the 1% level  Informed trading causes firm-specific return variation – Roll √ ∆FSRV ∆ DPIN BASE 0.150*** (8.31) ∆DPIN BASE, t *** (2.99) ∆DPIN DISP 0.194*** (11.07) ∆DPIN DISP,t * (1.77) ∆DPIN SIZE 0.145*** (5.32) ∆DPIN SIZE,t *** (2.72) Wald77.87***125.79*** 34.61***