Information asymmetry index : the view of market analysts

• Autor(a) principal: Gonzalez, Matheus Ramos de Castro
• Data de Publicação: 2019
• Tipo de documento: Tese
• Idioma: por
• Título da fonte: Repositório Institucional da UNISINOS (RBDU Repositório Digital da Biblioteca da Unisinos)
• Texto Completo: http://www.repositorio.jesuita.org.br/handle/UNISINOS/8776
• topic: ACCNPQ::Ciências Sociais Aplicadas::Ciências Contábeis; Assimetria Informacional; Índice de Assimetria Informacional; Disclosure; Cobertura de Sell Side; Microestrutura de Mercado; Information Asymmetry; Information Asymmetry Index; Disclosure; Sell Side Coverage

Information Asymmetry impact companies over different format, developing a great interest of researchers to study this construct. However, given those multiple impacts, distinctive proxies haven been used, quantitative and qualitative, but so far haven’t found appropriate model to measure the information asymmetry degree. This work aims to fill this gap proposing a model with secondary data capable to measure information asymmetry through market perspective. In this context, initially a survey was conducted between 2016 and 2018 with market analyst accredit by CFA, or CNPI. Based on their opinion an index was built in order to ranking the companies by their perception of better to worst disclosure. To validate the index, it was tested in a pooled cross-section model with dummies for sector and time for three groups of proxies: External Analysis, Internal Analysis and Market Microstructure, designed by the source of the proxies. The findings show that Volatility, Growth Opportunities and Coverage plays an important role in the way to determine companies’ information asymmetry degree. At the end, this work proposed a model for future researcher on the field.