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Information asymmetry and stock returns

机译：信息不对称和股票回报

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Purpose - This study endeavours to examine the relationship between information asymmetry and expected stock returns at the National Stock Exchange (NSE) of India, with a sample of NIFTY 500 stocks for a period ranging from 1st April 2000 to 31st March 2018, by employing three different proxies of information asymmetry: number of transactions, institutional ownership and idiosyncratic volatility. Design/methodology/approach - The return differential amongst information-sorted decile portfolios has been assessed to understand the effect of information risk on stock returns by employing (1) traditional measures of performance evaluation like mean, Sharpe, Treynor and information ratios, (2) regression models like the capital asset pricing (CAPM), Fama and French three-factor, Carhart's four-factor, information-augmented CAPM, information-augmented Fama and French three-factor and information-augmented Carhart's four-factor models and (3) an autoregressive distributed lag (ARDL) model. Findings - The empirical evidence indicated that as information asymmetry associated with portfolio increases, returns also expand to recompense investors for bearing information risk validating the existence of a significant positive relationship between information asymmetry and expected stock returns at the NSE. Amongst the various asset pricing models employed in this study, the information-augmented Fama and French three-factor model turned out to be the best in explaining cross-sectional variations in portfolio returns. Research limitations/implications - Strong information premium was observed such that high information stocks outperformed low information stocks which have strong inference for investors and portfolio managers, who all continuously look out for investment strategies that can lend hand to beat the market. Originality/value - Easley and O'Hara (2004) proposed that stocks with more information asymmetry have higher expected returns. Very few studies have examined this relationship between information risk and stock returns that too restricted to the US market only, with a few on other emerging markets. No work has been conducted on the concerned issue in the Indian context. Therefore, it seems to be the first study to explore the relationship between information asymmetry and expected stock returns in the Indian securities market.
机译：目的 - 本研究致力于审查印度国家证券交易所（NSE）的信息不对称和预期股票回报的关系，其中一段时间​​从2000年4月1日至2018年3月31日，通过雇用三个期间信息不对称的不同代理：交易数量，机构所有权和特质波动性。设计/方法/方法 - 通过使用（1）使用（1）绩效评估等绩效评估等绩效评估，以了解信息风险的效果，如平均值，夏普，TREYNOR和信息比，（2 ）回归模型，如资本资产定价（CAPM），FAMA和法国三因素，Carhart的四因素，信息增强CAPM，信息增强的FAMA和法国三因素和信息增强的Carhart的四因素模型和（3 ）自回归分布式滞后（ARDL）模型。调查结果 - 表明，随着与投资组合相关的信息不对称，返回也扩展到核心信息风险验证信息不对称与NSE的预期股票回报之间存在显着积极关系的额外资金投资者。在本研究中采用的各种资产定价模型中，信息增强的FAMA和法国三因素模型证明是最能解释投资组合返回的横截面变化。研究限制/影响 - 观察到强大的信息溢价，使得高信息股表现出对投资者和投资组合管理人员强烈推断的低信息股，他们都不断寻找能够借出击败市场的投资策略。原创性/值 - Easley和O'Hara（2004）建议具有更多信息不对称的股票具有更高的预期回报。很少有研究已经审查了信息风险与股票回报的这种关系，这些关系才限于美国市场，在其他新兴市场上有一些。在印度语境中没有任何工作。因此，似乎是第一次探索印度证券市场中信息不对称和预期股票回报之间关系的研究。

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