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Asian Journal of Economics, Business and Accounting, ISSN: 2456-639X,Vol.: 7, Issue.: 2


Asset Pricing and Asymmetric Information


Alexandre Ripamonti1*,  Diego Richard da Silva2 and Eurico Batista Moreira Neto2

1University of Sao Paulo, Brazil.

2University of Mogi das Cruzes, Brazil.

Article Information


(1) Chun-Chien Kuo, Associate Professor, Department of International Business, National Taipei University of Business, Taiwan.


(1) M. C. Minimol, Rajagiri College of Social Sciences (Autonomous), India.

(2) Helen Wong, The Hong Kong Polytechnic University, Hong Kong.

Complete Peer review History: http://www.sciencedomain.org/review-history/25105


This study applies Johansen-Fisher panel cointegration to a sample of the most liquid shares on the Brazilian stock market for 20 years. It finds that stock prices are determined by the asymmetric information of a lagged period, and the dilution of information corrects stock prices in the current period. This shows that rational expectations theory can offer a new price measure in the rational valuation formula, and its main assumptions are met. Uninformed traders can benefit from this paper´s findings by monitoring asymmetric information.

Keywords :

Asset pricing; rational valuation formula; asymmetric Information; Corwin-Schultz Bid-Ask spread estimator; Johansen-Fisher Panel Cointegration.

Full Article - PDF    Page 1-9

DOI : 10.9734/AJEBA/2018/42075

Review History    Comments

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