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

Max Leandro Ferreira Tavares | Zendy; Cláudio Henrique da Silveira Barbedo | Zendy; Gustavo Silva Araújo | Zendy

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

Author(s) -

Max Leandro Ferreira Tavares,

Cláudio Henrique da Silveira Barbedo,

Gustavo Silva Araújo

Publication year - 2014

Publication title -

brazilian business review

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.176

H-Index - 4

ISSN - 1808-2386

DOI - 10.15728/bbr.2014.11.1.6

Subject(s) - volatility (finance) , asymmetry , information asymmetry , financial economics , capital asset pricing model , economics , econometrics , stock (firearms) , bid–ask spread , stock market , monetary economics , market liquidity , microeconomics , geography , archaeology , quantum mechanics , context (archaeology) , physics

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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