October 22, 2013 Informed Trading and the Pricing of Good and Bad Private Information in the Cross-Section of Expected Stock Returns Michael J. Brennan, ∗ Sahn-Wook Huh, ∗∗ and Avanidhar Subrahmanyam ∗∗∗ ∗ The Anderson School, University of California at Los Angeles, Los Angeles, CA 90095- 1481; King Abdulaziz University, Jeddah, Saudi Arabia; and Manchester Business School, The University of Manchester. E-mail: mbrennan@anderson.ucla.edu. ∗∗ School of Management, University (SUNY) at Buffalo, Buffalo, NY 14260-4000. E- mail: swhuh@buffalo.edu. ∗∗∗ Corresponding author, The Anderson School, University of California at Los Angeles, Los Angeles, CA 90095-1481. E-mail: subra@anderson.ucla.edu. We thank Stephen Brown, Soeren Hvidkjaer, Yuxing Yan, Mao Ye, and Lance Young for advice on estimating the PIN measure, and Denys Glushkov at the Wharton Research Data Services (WRDS) for assistance in calculating the earnings surprise (SUE) mea- sure. Research assistance was ably provided by Yue Wang. Huh acknowledges financial support from the Social Sciences and Humanities Research Council of Canada (SSHRC), and the Ministry of Research and Innovation of Ontario. All errors are solely the authors’ responsibility.