Asymmetric information and daily stock prices in Brazil.

This paper has the goal of analyzing the association between asymmetric information, measured by Corwin-Schultz bid ask spread estimator, and stock prices in the Brazilian stock market. Daily data from 64 corporations over a period of 10 years were examined using the Johansen-Fisher panel cointegration technique in order to assess the validity of asymmetric information measurements in shorter periods than in previous studies. The results indicate that asymmetric information anticipates stock prices over a period of up to two days in a theoretically consistent way. Future research may control the results via traditional finance variables.

• Autores: Ichimura, Denis; Videira, Raphael; Ripamonti, Alexandre
• Tipo de recurso: Article of journal
• Fecha de publicación: 2020
• Institución: Universidad ICESI
• Repositorio: Repositorio ICESI
• Idioma: eng
• OAI Identifier: oai:repository.icesi.edu.co:10906/88925
• Acceso en línea: http://repository.icesi.edu.co/biblioteca_digital/handle/10906/88925; https://doi.org/10.18046/j.estger.2020.157.3924
• Palabra clave: Precios de las acciones; Información asimétrica; Estimador Corwin-Schultz.; Precios; Acciones en Brasil; Mercado de valores; Cotizaciones bursátiles; Variables financieras; Mercado brasileño; Brasil; Inversión; Markets; Stock Exchange; Money market; Capital market; Stock quotations; Stocks - Prices; Brazil; Price indexes; Precios de las acciones; Información asimétrica; Estimador Corwin-Schultz.; Mercados; Mercado de valores; Mercado monetario; Mercado de capitales; Cotizaciones de acciones; Acciones (Bolsa) - Precios; Brasil; Índices de precios; http://id.loc.gov/authorities/subjects/sh85081355; http://id.loc.gov/authorities/subjects/sh85128191; http://id.loc.gov/authorities/subjects/sh85086803; http://id.loc.gov/authorities/subjects/sh85019945; http://id.loc.gov/authorities/subjects/sh85128204; http://id.loc.gov/authorities/subjects/sh85128230; http://id.loc.gov/authorities/subjects/sh85106612; Mercado financiero; Financial markets; Inversión; Investment; Precio; Prices; Brasil; Brazil; http://vocabularies.unesco.org/thesaurus/concept10884; http://vocabularies.unesco.org/thesaurus/concept4619; http://vocabularies.unesco.org/thesaurus/concept1804; Mercado financiero; Financial markets; Mercado de capitales; Capital market; Acciones; Shares; Mercado monetario; Money market; Precios; Prices; Inversiones; Investments; Mercado financiero; Financial markets; Financial markets; Capital market; Inversión; Investment; Brasil; Brazil; Precio; Prices; Acciones; Shares; Mercado monetario; Money market; C33 Panel data model; D82 Asymmetric and private information; G32 Value of firms; G32 Financial risk and risk management
• Rights: openAccess
• License: Atribución-NoComercial-SinDerivadas 4.0 Internacional (CC BY-NC-ND 4.0)