NEGOCIAÇÃO COM INFORMAÇÃO PRIVILEGIADA E RETORNO DAS AÇÕES NA BM&FBOVESPA
In Brazil, according to Law No. 10.303/2001, the improper use of inside information in the stock market is crime. However, in literature there are studies to indicate the existence of insider trading in this market (BOPP, 2003; BARBEDO; SILVA; LEAL, 2009). Therefore, this study aims to investigate t...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Fundação Getulio Vargas, Escola de Administração de Empresas de São Paulo
2013-07-01
|
| Series: | RAE: Revista de Administração de Empresas |
| Subjects: | |
| Online Access: | http://rae.fgv.br/sites/rae.fgv.br/files/artigos/10.1590-0034-7590201300400003.pdf |
| _version_ | 1797726853786501120 |
|---|---|
| author | Orleans Silva Martins Edilson Paulo Pedro Henrique Melo Albuquerque |
| author_facet | Orleans Silva Martins Edilson Paulo Pedro Henrique Melo Albuquerque |
| author_sort | Orleans Silva Martins |
| collection | DOAJ |
| description | In Brazil, according to Law No. 10.303/2001, the improper use of inside information in the stock market is crime. However, in literature there are studies to indicate the existence of insider trading in this market (BOPP, 2003; BARBEDO; SILVA; LEAL, 2009). Therefore, this study aims to investigate the Probability of Informed Trading (PIN) in stock trading on the BM&FBOVESPA, trying to identify its relationship with stock returns. Based on Efficient Markets Theory and Agency Theory, we analyzed 198 stocks during the year 2011. The information asymmetry was measured (PIN) using the model of Easley, Hvidkjaer and O’Hara (2002) and related to stock returns through the model of Fama and MacBeth (1973) set. The results indicate that there is 22.9% probability of insider trading has occurred, that the segments with higher governance requirements together with the stocks that lower information asymmetry and an increase of 10.0% in PIN leads to an increase of 8.0 % in stock returns. |
| first_indexed | 2024-03-12T10:51:29Z |
| format | Article |
| id | doaj.art-66e368409f324cefa79ac84110adeb11 |
| institution | Directory Open Access Journal |
| issn | 0034-7590 2178-938X |
| language | English |
| last_indexed | 2024-03-12T10:51:29Z |
| publishDate | 2013-07-01 |
| publisher | Fundação Getulio Vargas, Escola de Administração de Empresas de São Paulo |
| record_format | Article |
| series | RAE: Revista de Administração de Empresas |
| spelling | doaj.art-66e368409f324cefa79ac84110adeb112023-09-02T06:53:29ZengFundação Getulio Vargas, Escola de Administração de Empresas de São PauloRAE: Revista de Administração de Empresas0034-75902178-938X2013-07-01534350362NEGOCIAÇÃO COM INFORMAÇÃO PRIVILEGIADA E RETORNO DAS AÇÕES NA BM&FBOVESPAOrleans Silva MartinsEdilson PauloPedro Henrique Melo AlbuquerqueIn Brazil, according to Law No. 10.303/2001, the improper use of inside information in the stock market is crime. However, in literature there are studies to indicate the existence of insider trading in this market (BOPP, 2003; BARBEDO; SILVA; LEAL, 2009). Therefore, this study aims to investigate the Probability of Informed Trading (PIN) in stock trading on the BM&FBOVESPA, trying to identify its relationship with stock returns. Based on Efficient Markets Theory and Agency Theory, we analyzed 198 stocks during the year 2011. The information asymmetry was measured (PIN) using the model of Easley, Hvidkjaer and O’Hara (2002) and related to stock returns through the model of Fama and MacBeth (1973) set. The results indicate that there is 22.9% probability of insider trading has occurred, that the segments with higher governance requirements together with the stocks that lower information asymmetry and an increase of 10.0% in PIN leads to an increase of 8.0 % in stock returns.http://rae.fgv.br/sites/rae.fgv.br/files/artigos/10.1590-0034-7590201300400003.pdfInformation asymmetrinside informationinsider tradingprobability of informed tradingPIN |
| spellingShingle | Orleans Silva Martins Edilson Paulo Pedro Henrique Melo Albuquerque NEGOCIAÇÃO COM INFORMAÇÃO PRIVILEGIADA E RETORNO DAS AÇÕES NA BM&FBOVESPA RAE: Revista de Administração de Empresas Information asymmetr inside information insider trading probability of informed trading PIN |
| title | NEGOCIAÇÃO COM INFORMAÇÃO PRIVILEGIADA E RETORNO DAS AÇÕES NA BM&FBOVESPA |
| title_full | NEGOCIAÇÃO COM INFORMAÇÃO PRIVILEGIADA E RETORNO DAS AÇÕES NA BM&FBOVESPA |
| title_fullStr | NEGOCIAÇÃO COM INFORMAÇÃO PRIVILEGIADA E RETORNO DAS AÇÕES NA BM&FBOVESPA |
| title_full_unstemmed | NEGOCIAÇÃO COM INFORMAÇÃO PRIVILEGIADA E RETORNO DAS AÇÕES NA BM&FBOVESPA |
| title_short | NEGOCIAÇÃO COM INFORMAÇÃO PRIVILEGIADA E RETORNO DAS AÇÕES NA BM&FBOVESPA |
| title_sort | negociacao com informacao privilegiada e retorno das acoes na bm fbovespa |
| topic | Information asymmetr inside information insider trading probability of informed trading PIN |
| url | http://rae.fgv.br/sites/rae.fgv.br/files/artigos/10.1590-0034-7590201300400003.pdf |
| work_keys_str_mv | AT orleanssilvamartins negociacaocominformacaoprivilegiadaeretornodasacoesnabmfbovespa AT edilsonpaulo negociacaocominformacaoprivilegiadaeretornodasacoesnabmfbovespa AT pedrohenriquemeloalbuquerque negociacaocominformacaoprivilegiadaeretornodasacoesnabmfbovespa |