The Influence of information asymmetry on the return and volatility of value and growth stock portfolios

Detalhes bibliográficos
Autor(a) principal: Tavares, Max Leandro Ferreira
Data de Publicação: 2014
Outros Autores: Barbedo, Claudio Henrique da Silveira, Araujo, Gustavo Silva
Tipo de documento: Artigo
Idioma: eng
por
Título da fonte: BBR. Brazilian Business Review (English edition. Online)
Texto Completo: http://www.bbronline.com.br/index.php/bbr/article/view/356
Resumo: This article investigates whether the information asymmetry component imbedded in the bid-ask spread helps explain the difference in returns between portfolios composed of value versus growth stocks in the Brazilian market. Additionally, we test whether the portfolios’ volatility has any relation with asymmetry. In this way, we incorporate an element from the market microstructure literature, the information asymmetry component, in the classic asset pricing theory. The results obtained for the period between July 2006 and April 2009 suggest that asymmetry can explain the difference in returns of the two types of portfolios. 
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spelling The Influence of information asymmetry on the return and volatility of value and growth stock portfoliosA influência da assimetria de informação no retorno e na volatilidade das carteiras de ações de valor e de crescimentoValue stock portfoliosgrowth stock portfoliosinformation asymmetryCarteira de ações de valorCarteira de ações de crescimentoAssimetria de informaçãoThis article investigates whether the information asymmetry component imbedded in the bid-ask spread helps explain the difference in returns between portfolios composed of value versus growth stocks in the Brazilian market. Additionally, we test whether the portfolios’ volatility has any relation with asymmetry. In this way, we incorporate an element from the market microstructure literature, the information asymmetry component, in the classic asset pricing theory. The results obtained for the period between July 2006 and April 2009 suggest that asymmetry can explain the difference in returns of the two types of portfolios. O presente trabalho tem como objetivo verificar se o componente de assimetria de informação embutido no spread de compra e venda ajuda a explicar a diferença de retornos entre carteirascompostas por ações de valor e de crescimento. Adicionalmente, testamos se a volatilidade das carteiras guarda alguma relação com a assimetria. Desta forma, incorporamos um elemento da literatura de microestrutura de mercado, o componente de assimetria de informação, à teoria clássica de apreçamento de ativos. O resultado obtido no período compreendido entre julho de 2006 e abril de 2009 sugere que a assimetria pode explicar a diferença entre os retornos das carteiras de valor e de crescimento. FUCAPE Business Shool2014-01-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionPeer-reviewed ArticleArtigo revisado pelos paresapplication/pdfapplication/pdfhttp://www.bbronline.com.br/index.php/bbr/article/view/35610.15728/bbr.2014.11.1.6Brazilian Business Review; Vol. 11 No. 1 (2014): January to February 2014; 111-129Brazilian Business Review; v. 11 n. 1 (2014): Janeiro a Fevereiro de 2014; 111-1291808-23861807-734Xreponame:BBR. Brazilian Business Review (English edition. Online)instname:Fucape Business School (FBS)instacron:FBSengporhttp://www.bbronline.com.br/index.php/bbr/article/view/356/541http://www.bbronline.com.br/index.php/bbr/article/view/356/542Tavares, Max Leandro FerreiraBarbedo, Claudio Henrique da SilveiraAraujo, Gustavo Silvainfo:eu-repo/semantics/openAccess2018-11-06T19:51:15Zoai:ojs.pkp.sfu.ca:article/356Revistahttps://www.bbronline.com.br/index.php/bbr/indexONGhttp://www.bbronline.com.br/index.php/bbr/oai|| bbronline@bbronline.com.br1808-23861808-2386opendoar:2018-11-06T19:51:15BBR. Brazilian Business Review (English edition. Online) - Fucape Business School (FBS)false
dc.title.none.fl_str_mv The Influence of information asymmetry on the return and volatility of value and growth stock portfolios
A influência da assimetria de informação no retorno e na volatilidade das carteiras de ações de valor e de crescimento
title The Influence of information asymmetry on the return and volatility of value and growth stock portfolios
spellingShingle The Influence of information asymmetry on the return and volatility of value and growth stock portfolios
Tavares, Max Leandro Ferreira
Value stock portfolios
growth stock portfolios
information asymmetry
Carteira de ações de valor
Carteira de ações de crescimento
Assimetria de informação
title_short The Influence of information asymmetry on the return and volatility of value and growth stock portfolios
title_full The Influence of information asymmetry on the return and volatility of value and growth stock portfolios
title_fullStr The Influence of information asymmetry on the return and volatility of value and growth stock portfolios
title_full_unstemmed The Influence of information asymmetry on the return and volatility of value and growth stock portfolios
title_sort The Influence of information asymmetry on the return and volatility of value and growth stock portfolios
author Tavares, Max Leandro Ferreira
author_facet Tavares, Max Leandro Ferreira
Barbedo, Claudio Henrique da Silveira
Araujo, Gustavo Silva
author_role author
author2 Barbedo, Claudio Henrique da Silveira
Araujo, Gustavo Silva
author2_role author
author
dc.contributor.author.fl_str_mv Tavares, Max Leandro Ferreira
Barbedo, Claudio Henrique da Silveira
Araujo, Gustavo Silva
dc.subject.por.fl_str_mv Value stock portfolios
growth stock portfolios
information asymmetry
Carteira de ações de valor
Carteira de ações de crescimento
Assimetria de informação
topic Value stock portfolios
growth stock portfolios
information asymmetry
Carteira de ações de valor
Carteira de ações de crescimento
Assimetria de informação
description This article investigates whether the information asymmetry component imbedded in the bid-ask spread helps explain the difference in returns between portfolios composed of value versus growth stocks in the Brazilian market. Additionally, we test whether the portfolios’ volatility has any relation with asymmetry. In this way, we incorporate an element from the market microstructure literature, the information asymmetry component, in the classic asset pricing theory. The results obtained for the period between July 2006 and April 2009 suggest that asymmetry can explain the difference in returns of the two types of portfolios. 
publishDate 2014
dc.date.none.fl_str_mv 2014-01-01
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
Artigo revisado pelos pares
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://www.bbronline.com.br/index.php/bbr/article/view/356
10.15728/bbr.2014.11.1.6
url http://www.bbronline.com.br/index.php/bbr/article/view/356
identifier_str_mv 10.15728/bbr.2014.11.1.6
dc.language.iso.fl_str_mv eng
por
language eng
por
dc.relation.none.fl_str_mv http://www.bbronline.com.br/index.php/bbr/article/view/356/541
http://www.bbronline.com.br/index.php/bbr/article/view/356/542
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv FUCAPE Business Shool
publisher.none.fl_str_mv FUCAPE Business Shool
dc.source.none.fl_str_mv Brazilian Business Review; Vol. 11 No. 1 (2014): January to February 2014; 111-129
Brazilian Business Review; v. 11 n. 1 (2014): Janeiro a Fevereiro de 2014; 111-129
1808-2386
1807-734X
reponame:BBR. Brazilian Business Review (English edition. Online)
instname:Fucape Business School (FBS)
instacron:FBS
instname_str Fucape Business School (FBS)
instacron_str FBS
institution FBS
reponame_str BBR. Brazilian Business Review (English edition. Online)
collection BBR. Brazilian Business Review (English edition. Online)
repository.name.fl_str_mv BBR. Brazilian Business Review (English edition. Online) - Fucape Business School (FBS)
repository.mail.fl_str_mv || bbronline@bbronline.com.br
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