Asymmetric information and daily stock prices in Brazil
This paper has the goal of analyzing the association between asymmetric information, measured by Corwin-Schultz bid ask spread estimator, and stock prices in the Brazilian stock market. Daily data from 64 corporations over a period of 10 years were examined using the Johansen-Fisher panel cointegrat...
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| Format: | Article |
| Language: | Spanish |
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Universidad ICESI
2020-12-01
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| Series: | Estudios Gerenciales |
| Subjects: | |
| Online Access: | https://www.icesi.edu.co/revistas/index.php/estudios_gerenciales/article/view/3924 |
| _version_ | 1819203666549145600 |
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| author | Denis Ichimura Raphael Videira Alexandre Ripamonti |
| author_facet | Denis Ichimura Raphael Videira Alexandre Ripamonti |
| author_sort | Denis Ichimura |
| collection | DOAJ |
| description | This paper has the goal of analyzing the association between asymmetric information, measured by Corwin-Schultz bid ask spread estimator, and stock prices in the Brazilian stock market. Daily data from 64 corporations over a period of 10 years were examined using the Johansen-Fisher panel cointegration technique in order to assess the validity of asymmetric information measurements in shorter periods than in previous studies. The results indicate that asymmetric information anticipates stock prices over a period of up to two days in a theoretically consistent way. Future research may control the results via traditional finance variables. |
| first_indexed | 2024-12-23T04:23:33Z |
| format | Article |
| id | doaj.art-51b50c52181b4b7a98d65fd9bec90dc7 |
| institution | Directory Open Access Journal |
| issn | 0123-5923 |
| language | Spanish |
| last_indexed | 2024-12-23T04:23:33Z |
| publishDate | 2020-12-01 |
| publisher | Universidad ICESI |
| record_format | Article |
| series | Estudios Gerenciales |
| spelling | doaj.art-51b50c52181b4b7a98d65fd9bec90dc72022-12-21T18:00:10ZspaUniversidad ICESIEstudios Gerenciales0123-59232020-12-013615746547210.18046/j.estger.2020.157.3924Asymmetric information and daily stock prices in BrazilDenis Ichimura0https://orcid.org/0000-0002-4686-4774Raphael Videira1https://orcid.org/0000-0003-2839-4542Alexandre Ripamonti2https://orcid.org/0000-0003-2022-6819Graduate, Program in Management, Universidade Ibirapuera, São Paulo, Brazil.Professor, School of International Affairs, ESPM, Sao Paulo, Brazil.University IbirapuerFull Professor, Graduate Program in Management, Universidade Ibirapuera, São Paulo, Brazil. Professor, School of Advertising, ESPM, São Paulo, BrazilaThis paper has the goal of analyzing the association between asymmetric information, measured by Corwin-Schultz bid ask spread estimator, and stock prices in the Brazilian stock market. Daily data from 64 corporations over a period of 10 years were examined using the Johansen-Fisher panel cointegration technique in order to assess the validity of asymmetric information measurements in shorter periods than in previous studies. The results indicate that asymmetric information anticipates stock prices over a period of up to two days in a theoretically consistent way. Future research may control the results via traditional finance variables.https://www.icesi.edu.co/revistas/index.php/estudios_gerenciales/article/view/3924stock pricesasymmetric informationcorwin-schultz estimator |
| spellingShingle | Denis Ichimura Raphael Videira Alexandre Ripamonti Asymmetric information and daily stock prices in Brazil Estudios Gerenciales stock prices asymmetric information corwin-schultz estimator |
| title | Asymmetric information and daily stock prices in Brazil |
| title_full | Asymmetric information and daily stock prices in Brazil |
| title_fullStr | Asymmetric information and daily stock prices in Brazil |
| title_full_unstemmed | Asymmetric information and daily stock prices in Brazil |
| title_short | Asymmetric information and daily stock prices in Brazil |
| title_sort | asymmetric information and daily stock prices in brazil |
| topic | stock prices asymmetric information corwin-schultz estimator |
| url | https://www.icesi.edu.co/revistas/index.php/estudios_gerenciales/article/view/3924 |
| work_keys_str_mv | AT denisichimura asymmetricinformationanddailystockpricesinbrazil AT raphaelvideira asymmetricinformationanddailystockpricesinbrazil AT alexandreripamonti asymmetricinformationanddailystockpricesinbrazil |