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

Original-research-article

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

Editor(s):

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

Reviewers:

(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

Abstracts

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 Article Metrics

DOI : 10.9734/AJEBA/2018/42075

Review History    Comments

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