Asset Pricing and Asymmetric Information

Autor:	Diego Silva, Alexandre Ripamonti, Eurico Moreira Neto
Rok vydání:	2018
Předmět:	Rational expectations Investment decisions Information asymmetry Cointegration Econometrics Economics General Earth and Planetary Sciences Capital asset pricing model Stock market Stock (geology) General Environmental Science Valuation (finance)
Zdroj:	Asian Journal of Economics, Business and Accounting. 7:1-9
ISSN:	2456-639X
DOI:	10.9734/ajeba/2018/42075
Popis:	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.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::e227005c193f15b22f3f95c62fa2526f https://doi.org/10.9734/ajeba/2018/42075 Zobrazit plný text záznamu