Theoretical Analysis Of Firm And Market-Specific Proxies Of Information Asymmetry On Equity Prices In The Stock Markets

A. J. Abosede () and Jimoh Ezekiel Oseni ()
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A. J. Abosede: Olabisi Onabanjo University, Ago Iwoye, Nigeria
Jimoh Ezekiel Oseni: Olabisi Onabanjo University, Ago Iwoye, Nigeria

Journal of Knowledge Management, Economics and Information Technology, 2011, vol. 1, issue 4, 10

Abstract: Asset pricing has remained an issue of interest to scholars, investment managers and analysts without borders. Pricing of equities in environments characterized with imperfect information and determining the effect of information asymmetry on the asset have also remained a challenge. The risk the information uncertainty from the firm poses to the investors and analysts and the risk the information uncertainty from the investment opportunities of the firm poses to the managers need to be measured and incorporated into equity price. This study made an attempt to develop a model from the works of Lowry, Officer and Schwert (2007) and Reber and Fong (2008) for measuring the effect of firm and market-specific proxies of information asymmetry on equity prices in the stock market. The model developed is considered suitable for adoption in developing and emerging economies where information is considered prevalent. In addition to providing a model for measuring the effects of proxies of information asymmetry on equity prices, the study would to literature on the subject of information asymmetry as it relates to equity pricing and stock market.

Keywords: information asymmetry; proxies; capital market; equity pricing (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:spp:jkmeit:1147

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