The name comes from the pink paper quote sheets dealers once circulated. Today it is the Pink tier of otc-markets, subdivided into current information, limited information, and no information. Companies that stop filing land here, as do many shells and some delisted former listings.
Securities with no current information are restricted to the Expert Market, where most retail brokers accept only unsolicited sell orders. That means you can be stuck holding something you cannot easily buy more of or, in practice, exit.
Example: a stock loses its exchange listing in a delisting and moves to the Pink no-information tier. Spreads widen from 0.5% to 12%, the options chain disappears, and the borrow is gone, so hedging is no longer possible.
Related: otc-markets, penny-stock, shell-company