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

• المؤلفون الرئيسيون: Fernandez, Franco Agustine M., Tin, Jarrod Leighton M., Protacio, Jules Anthony O., Estrada, Thomas Angelo D.
• التنسيق: text
• اللغة: English
• منشور في: Animo Repository 2022
• الموضوعات: Stocks—Rate of return; Information asymmetry; Finance and Financial Management
• الوصول للمادة أونلاين: https://animorepository.dlsu.edu.ph/etdb_econ/45; https://animorepository.dlsu.edu.ph/cgi/viewcontent.cgi?article=1056&context=etdb_econ

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...