Asset Pricing and Asymmetric Information

Alexandre Ripamonti, Diego Silva and Eurico Moreira Neto

MPRA Paper from University Library of Munich, Germany

Abstract: This study applies Johansen-Fisher panel cointegration to a sample of the most liquid shares on the Brazilian stock market for 20 years. It finds that stock prices are determined by the asymmetric information of a lagged period, and the dilution of information corrects stock prices in the current period. This shows that rational expectations theory can offer a new price measure in the rational valuation formula, and its main assumptions are met. Uninformed traders can benefit from this paper´s findings by monitoring asymmetric information.

Keywords: Asset pricing; rational valuation formula; asymmetric Information; Corwin-Schultz Bid-Ask spread estimator; Johansen-Fisher Panel Cointegration (search for similar items in EconPapers)
JEL-codes: C33 D82 G11 G12 (search for similar items in EconPapers)
Date: 2018-06-14
New Economics Papers: this item is included in nep-ore and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in Asian Journal of Economics, Business and Accounting 2.7(2018): pp. 1-9

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:87403

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