TY - JOUR T1 - Measuring the Probability of Informed Trading (PIN) and Its Relationship with Daily Return Variation in Selected Firms in the Tehran Stock Exchange TT - سنجش احتمال معامله آگاهانه (PIN) و رابطه آن با انحرافات روزانه بازده سهام در شرکت‌های منتخب فعال در بورس اوراق بهادار تهران JF - IJNAA JO - IJNAA VL - 25 IS - 83 UR - http://qjerp.ir/article-1-1476-en.html Y1 - 2017 SP - 285 EP - 309 KW - Information Asymmetry KW - Return Variation KW - Tehran Stock Exchange KW - PIN. N2 - Enough information in market and timely and fast reflection of information in prices, closely related to market performance. Therefore, efficient markets must be sensitive to new information, so that if new information became public, stock price changes according to direction of this information. Since investors information not symmetric in the stock markets, study information asymmetry in firms can be provide better analysis of market conditions. Therefore this study tries to measuring information asymmetry by using a measure of probability of informed trading (PIN), in selected firms in the Tehran Stock Exchange and in the period of 1389 to 1394. In this regard, first presented informational environment of these firms with annual information asymmetry, and then has been investigated the impact of information asymmetry on stock return variation with daily data. Results show Saipa, Bahman Group and Tosee Melli Investment have better informational environment and Khorasan Steel, IRI Marine Co. and Isfahan Oil Ref. Co. have highest level of information asymmetry. Also results show information asymmetry in the same period, leading to resonance daily return variation in the selected firms, but information asymmetry in the previous period, leading to formation cautiously expectations in stock trading and had a reverse effect in daily return variation. M3 ER -