Article Dans Une Revue Asian Journal of Economics, Business and Accounting Année : 2018

Asset Pricing and Asymmetric Information

Résumé

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.

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Dates et versions

hal-05372050 , version 1 (19-11-2025)

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  • HAL Id : hal-05372050 , version 1

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Alexandre Ripamonti, Diego Richard Da Silva, Eurico Batista Moreira Neto. Asset Pricing and Asymmetric Information. Asian Journal of Economics, Business and Accounting, 2018, 7 (2), pp.1-9. ⟨hal-05372050⟩
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