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

Author

Listed:
  • Max Leandro Ferreira Tavares

    (IBMEC)

  • Claudio Henrique da Silveira Barbedo

    (IBMEC and Central Bank of Brazil)

  • Gustavo Silva Araujo

    (Central Bank of Brazil)

Abstract

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.

Suggested Citation

  • Max Leandro Ferreira Tavares & Claudio Henrique da Silveira Barbedo & Gustavo Silva Araujo, 2014. "The Influence of information asymmetry on the return and volatility of value and growth stock portfolios," Brazilian Business Review, Fucape Business School, vol. 11(1), pages 111-129, January.
    • Handle: RePEc:bbz:fcpbbr:v:11:y:2014:i:1:p:111-129
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    References listed on IDEAS

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    Cited by:

    1. Hesham Abdelghany, 2015. "The effect of accounting disclosure quality and information asymmetry on the stock market activity ? an applied study on listed companies in the Egyptian stock market," Proceedings of International Academic Conferences 2704127, International Institute of Social and Economic Sciences.

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