Measuring information asymmetry in stock returns using information-augmented asset pricing models

• Main Authors: Fernandez, Franco Agustine M., Tin, Jarrod Leighton M., Protacio, Jules Anthony O., Estrada, Thomas Angelo D.
• Format: text
• Language: English
• Published: Animo Repository 2022
• Subjects: Stocks—Rate of return; Information asymmetry; Finance and Financial Management
• Online Access: https://animorepository.dlsu.edu.ph/etdb_econ/45; https://animorepository.dlsu.edu.ph/cgi/viewcontent.cgi?article=1056&context=etdb_econ
• Institution: De La Salle University

Asset pricing models are utilized to navigate market signals and determine relevant factors that will explain the effect it has on an asset's expected return. Our paper aims to identify if adding an information asymmetry factor in asset pricing models plays a significant role in determining exp...