The Influence of information asymmetry on the return and volatility of value and growth stock portfolios

Max Tavares, Claudio Henrique Barbedo and Gustavo Araujo
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Max Tavares: IBMEC
Claudio Henrique Barbedo: IBMEC and Central Bank of Brazil

Brazilian Business Review, 2014, vol. 11, issue 1, 111-129

Abstract: This article investigates whether the information asymmetry component imbedded in the bid-ask spread helps explain the difference in returns between portfolios composed of value versus growth stocks in the Brazilian market. Additionally, we test whether the portfolios’ volatility has any relation with asymmetry. In this way, we incorporate an element from the market microstructure literature, the information asymmetry component, in the classic asset pricing theory. The results obtained for the period between July 2006 and April 2009 suggest that asymmetry can explain the difference in returns of the two types of portfolios.

Keywords: Value stock portfolios; growth stock portfolios; information asymmetry (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:bbz:fcpbbr:v:11:y:2014:i:1:p:111-129

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