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首页> 外文期刊>Revista Contabilidade & Finanas >The effect of asymmetric information risk on returns of stocks traded on the BM&FBOVESPA
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The effect of asymmetric information risk on returns of stocks traded on the BM&FBOVESPA

机译：信息不对称风险对在BM＆FBOVESPA上交易的股票收益的影响

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This study sought to analyze information asymmetry in the Brazilian stock market and its relation with the returns required from portfolios through the metrics volume-synchronized probability of informed trading. To do this, the study used actual data from the transactions of 142 stocks on the Brazilian Securities, Commodities and Futures Exchange (BM&FBOVESPA), within the period from May 1, 2014, to May 31, 2016. The results point out a high flow toxicity level in the orders of these stocks. In segment analyses of the stock market listing, data suggest there is no clue that stocks from the theoretically more overt segments have a lower toxicity level of order flows. The justification for this finding lies on the negative correlation observed between the market value of stocks and the toxicity level of orders. To test the effect of asymmetric information risk on stock returns, a factor related to the toxicity level of orders was added to the three-, four-, and five-factor models. Through the GRS test, we observed that the combination of factors that optimize the explanation of returns of the portfolios created was the one taking advantage of the factors market, size, profitability, investment, and information risk. To test the robustness of these results, the Average F-test was used in data simulated by the bootstrap method, and similar estimates were obtained. It was observed that the factor related to the book-to-market index becomes redundant in the national scenario for the models tested. Also, it was found that the factor related to information risk works as a complement to the factor size and that its inclusion leads to an improved performance of the models, indicating a possible explanatory power of information risk on portfolio returns. Therefore, data suggest that information risk is priced in the Brazilian stock market.
机译：这项研究试图通过量度知情交易的量同步概率分析巴西股票市场中的信息不对称及其与投资组合所需回报的关系。为此，该研究使用了2014年5月1日至2016年5月31日期间在巴西证券，商品和期货交易所（BM＆FBOVESPA）上142支股票交易的实际数据。结果表明流量高毒性等级按这些库存的顺序排列。在对股票市场上市的细分分析中，数据表明没有任何线索表明理论上较为公开的细分市场中的股票具有较低的定单毒性水平。这一发现的理由在于，在股票的市场价值与订单的毒性水平之间观察到负相关。为了测试信息不对称风险对股票收益的影响，将与订单毒性水平相关的因素添加到了三因素，四因素和五因素模型中。通过GRS检验，我们观察到可以优化对所创建投资组合的收益的解释的多种因素组合是一种利用了市场，规模，获利能力，投资和信息风险等因素的组合。为了测试这些结果的稳健性，将平均F检验用于通过bootstrap方法模拟的数据中，并获得类似的估计值。观察到，在国家情况下，与被测模型有关的与市价比相关的因素变得多余。此外，还发现与信息风险有关的因素是对因素规模的补充，并且将其包括进来可以提高模型的性能，这表明信息风险对投资组合收益的可能解释力。因此，数据表明信息风险是在巴西股票市场中定价的。

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