Asymmetric information and daily stock prices in Brazil

Denis Ichimura; Raphael Videira; Alexandre Ripamonti

doi:10.18046/j.estger.2020.157.3924

Autores/as

Denis Ichimura Graduate, Program in Management, Universidade Ibirapuera, São Paulo, Brazil. https://orcid.org/0000-0002-4686-4774
Raphael Videira Professor, School of International Affairs, ESPM, Sao Paulo, Brazil. https://orcid.org/0000-0003-2839-4542
Alexandre Ripamonti University IbirapuerFull Professor, Graduate Program in Management, Universidade Ibirapuera, São Paulo, Brazil. Professor, School of Advertising, ESPM, São Paulo, Brazila https://orcid.org/0000-0003-2022-6819

DOI:

https://doi.org/10.18046/j.estger.2020.157.3924

Palabras clave:

precios de las acciones, informacion asimetrica, estimador Corwin-Schultz

Resumen

Este trabajo tuvo como objetivo analizar la asociación entre información asimétrica, medida a través del estimador Corwin-Schultz, y las cotizaciones bursátiles en el mercado de valores brasileño. Los datos diarios de 64 empresas, en un período de 10 diez años, se examinaron utilizando la técnica de cointegración de panel de Johansen-Fisher para evaluar la validez de una medida de información asimétrica en períodos más cortos que los estudios anteriores. Los resultados indican que la información asimétrica anticipa los precios de las acciones en un período de hasta dos días, de una manera teóricamente consistente. Las investigaciones futuras deberían controlar los resultados mediante variables financieras tradicionales.

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