Asset Pricing and Asymmetric Information
Alexandre Ripamonti, Diego Richard da Silva, Eurico Batista Moreira Neto
Asian Journal of Economics, Business and Accounting · pp. 1–9 · Published 12 Jun 2018
10.9734/AJEBA/2018/42075Abstract
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.
Cited by 2
Jems Arison Zacharias, Yefta Andi Kus Noegroho, Ronny Prabowo · Asian Journal of Accounting Research · 2025
Denis Ichimura, Raphael Videira, Alexandre Ripamonti · Estudios Gerenciales · 2020
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