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A Influência da Assimetria de Informação no Retorno e na Volatilidade das Carteiras de Ações de Valor e de Crescimento

Max Tavares, Cláudio Barbedo and Gustavo Araujo ()

No 312, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: This work aims to verify whether the information asymmetry embedded in the spread helps to explain the difference in returns between value and growth portfolios. Additionally, we tested whether the volatility of portfolios is related to this component. Thus, we incorporate a market microstructure element, adverse selection, to the asset pricing theory. The results obtained in the period between July 2006 and April 2009 suggest that information asymmetry can explain the difference between the returns of portfolios of value and growth stocks.

Date: 2013-07
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