為了減緩優勢資訊交易機率（probability of information-based trading，簡稱PIN）富含市場雜訊問題，Easley et al. (2008) 提出納入審計、會計、經濟、股權結構等影響企業資訊環境因素所組合建構的資訊交易機率代理變數（Proxy of PIN，簡稱PPIN）。PPIN除了能過濾市場雜訊、考量完整的企業資訊風險，並幫助投資者了解何種企業特徵具有較高之資訊風險。基此，本文計算台灣企業之PPIN值，驗證並支持Easley et al. (2008) 對PPIN之論述，證實PPIN於台灣資本市場的適用性。並且進一步提出PPIN於資產定價與穩健會計模型的應用。 In order to reduce market noise of Probability of Information-Based Trading, (PIN), Easley et al. (2008) created Proxy of PIN (PPIN) consisted of factors which affect the information environment of firm, including auditing, accounting, economic and stockholder structure. PPIN is able to filter market noise, considers the complete information risk of firm, and helps investors identify firm characteristics with higher information risk. Therefore, we measure PPIN of Taiwan firms to verify the statement of Easley et al. (2008) and the stability of PPIN in Taiwan capital market. Furthermore, we present the application of PPIN on asset price model and conservatism accounting model.
