Assimetria de informação e preços diários de ações no Brasil
DOI:
https://doi.org/10.18046/j.estger.2020.157.3924Palavras-chave:
precos de acoes, assimetria da informacao, estimador de Corwin-SchultzResumo
Este trabalho tem como objetivo analisar a associação entre informação assimétrica, medida pelo estimador Corwin-Schultz, e cotizações bursáteis no mercado brasileiro de ações. Foram analisados dados diários de 64 empresas, durante um perídodo de 10 anos, pela técnica de cointegração para dados em painel de Johansen-Fisher, para avaliar a validade de uma medida de informação assimétrica em períodos inferiores aos de estudos anteriores. Os resultados indicam que a informação assimétrica antecipa o preço das ações em um período de até 2 dias, de maneira teoricamente consistente. Pesquisas futuras deveriam controlar os resultados mediante variáveis financeiras tradicionais.
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