INFORMATION ASYMMETRY INDEX: The View of Market Analysts

Roberto Frota Decourt, Heitor Almeida, Philippe Protin () and Matheus Gonzalez
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Roberto Frota Decourt: UNISINOS - Universidade do Vale do Rio dos Sinos
Heitor Almeida: UIUC - University of Illinois at Urbana-Champaign [Urbana] - University of Illinois System
Philippe Protin: UGA INP IAE - Grenoble Institut d'Administration des Entreprises - UGA - Université Grenoble Alpes - Grenoble INP - Institut polytechnique de Grenoble - Grenoble Institute of Technology - UGA - Université Grenoble Alpes
Matheus Gonzalez: UNISINOS - Universidade do Vale do Rio dos Sinos

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Abstract: The purpose of the research was to build an index of informational asymmetry with market and firm proxies that reflect the analysts' perception of the level of informational asymmetry of companies. The proposed method consists of the construction of an algorithm based on the Elo rating and captures the perception of the analyst that choose, between two firms, the one they consider to have better information. After we have the informational asymmetry index, we run a regression model with our rating as dependent variable and proxies used by the literature as the independent variable to have a model that can be used for other researches that need to measure the level of informational asymmetry of a company. Our model presented a good fit between our index and the proxies used to measure informational asymmetry and we find four significant variables: coverage, volatility, Tobin q, and size.

Date: 2019-06-26
Note: View the original document on HAL open archive server: https://hal.science/hal-04690540v1
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Published in European Financial Management Association (EFMA), University of Azores, Jun 2019, Ponta Delgada, Island of S. Miguel, Portugal

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