Source: http://www.spell.org.br/documentos/ver/42537/efeitos-crise-e-divulgacao-sobre-a-assimetria-de-informacao-no-mercado-acionario-brasileiro
Timestamp: 2019-04-22 18:39:58+00:00

Document:
This study examined the effects of the Subprime Crisis and the Disclosure of Financial Statements on the information asymmetry that exists in the Brazilian stock market. For this, we analysed the trading in shares of 164 companies listed on BM&FBOVESPA between the years 2008 and 2012. From intraday trading data it was estimated the Probability of Informed Trading (PIN), which was related to other information asymmetry proxies identified in the literature. Based on correlation analysis, mean differences and Tobit regressions with data organized in pooled, we can see that the results confirm previous evidence of a positive relationship of the PIN with Risk, Cost of Equity, Liquidity and Size. In addition, there is a positive relationship of the PIN with Abnormal Return and Volatility, and a negative relationship with Corporate Governance and issuance of ADR. Among his main contributions stand out the evidence that both the Crisis and the Disclosure show negative and significant effects on the information asymmetry.
MARTINS, O. S.; PAULO, E. Efeitos Crise e Divulgação sobre a Assimetria de Informação no Mercado Acionário Brasileiro. Contabilidade Vista & Revista, v. 27, n. 2, p. 113-133, 2016.
Martins, O. S., & Paulo, E. (2016). Efeitos Crise e Divulgação sobre a Assimetria de Informação no Mercado Acionário Brasileiro. Contabilidade Vista & Revista, 27(2), 113-133.
ABAD, D.; RUBIA, A. Modelos de estimación de la probabilidad de negociación informada: una comparación metodológica en el mercado Español. Revista de Economía Financeira, n. 7, p. 137, 2005.
AKERLOF, G. A. The market for ‘lemons’: quality uncertainty and the market mechanism. Quarterly Journal of Economics, v. 84, n. 3, p. 488-500, 1970.
ALBANEZ, T. Impactos da assimetria de informação na estrutura de capital das empresas brasileiras de capital aberto. 2008. 106f. Dissertação (Mestrado em Contabilidade) – Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto, Universidade de São Paulo, São Paulo, 2008.
ALBERTON, A.; MOLETTA, A. M. C.; MARCON, R. Os níveis diferenciados de governança corporativa blindam as firmas contra crises financeiras? Uma análise da crise financeira de 2008. Pensar Contábil, v. 13, n. 51, p. 56-64, maio/ago. 2011.
AMIHUD, Y.; MENDELSON, H. The effects of beta, bid-ask spread, residual risk, and size on stock returns. The Journal of Finance, v. 44, n. 2, p. 479-486, 1989.
ASLAN, H.; EASLEY, D.; HVIDKJAER, S.; O’HARA, M. The characteristics of informed trading: implications for asset pricing. Journal of Empirical Finance, v. 18, p. 782-801, 2011.
BALL, R.; BROWN, P. An empirical evaluation of accounting income numbers. Journal of Accounting Research, v. 6, p. 159-178, 1968.
BARBEDO, C. H.; SILVA, E. C.; LEAL, R. P. C. Probabilidade de informação privilegiada no mercado de ações, liquidez intra-diária e níveis de governança corporativa. Revista Brasileira de Economia, v. 63, n. 1, p. 51-62, jan./mar. 2009.
BEAVER, W. H. The information content of earning announcements: empirical research in accounting. Journal of Accounting Research, v. 6, p. 67-92, 1968.
BROOKS, C. Introductory econometrics for finance. 2 ed. Cambridge: University Press, 2008.
CHUNG, H. M. Investor protection and the liquidity of cross-listed securities: Evidence from the ADR market. Journal of Banking & Finance, v. 30, n. 5, p. 1485-1505, 2006.
CLARKE, J.; SHASTRI, K. On information asymmetry metrics. SSRN Working Paper, 2000. Disponível em: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=251938. Acesso em: 14 jan.2015. 2000.
DIERKENS, N. Information asymmetry and equity issues. Journal of Financial and Quantitative Analysis, v. 26, n. 2, p. 181-199, 1991.
EASLEY, D.; HVIDKJAER, S.; O’HARA, M. Is information risk determinant of asset returns? The Journal of Finance, v. 57, n. 5, p. 2185-2221, 2002.
EASLEY, D.; KIEFER, N. M.; O’HARA, M.; PAPERMAN, J. B. Liquidity, information and infrequently traded stocks. The Journal of Finance, v. 51, n. 4, p. 1405-1436, 1996.
EASLEY, D.; O’HARA, M. Information and the cost of capital. The Journal of Finance, v. 59, n. 4, p. 1553-1583, 2004.
FERREIRA, D.M.; MATTOS, L.B. The contagion effect of the subprime crisis in the Brazilian stock market. Procedia Economics and Finance, v. 14, p. 191-200, 2014.
HALOV, N.; HEIDER, F. Capital structure, risk and asymmetric information. Quarterly Journal of Finance, v. 1, n. 4, p. 767-809, 2011.
HEALY, P. M.; PALEPU, K. G. Information asymmetry, corporate disclosure, and the capital markets: a review of the empirical disclosure literature. Journal of Accounting and Economics, v. 31, n. 1/3, p. 405-440, 2001.
LEE, C. M. C.; READY, M. J. Inferring trade direction from intraday data. The Journal of Finance, v. 46, n. 2, p. 733-746, 1991.
LELAND, H. E.; PYLE, D. H. Information asymmetries, financial structure, and financial intermediation. The Journal of Finance, v. 32, n. 2, p. 371-387, 1977.
LIN, B. W.; CHEN, J. S. Corporate technology portfolios and R&D performance measures: a study of technology intensive firms. R&D Management, v. 35, n. 2, p. 157-170, 2005.
MARTINS, O. S.; PAULO, E.; ALBUQUERQUE, P. H. M. Negociação com informação privilegiada e retorno das ações na BM&FBOVESPA. Revista de Administração de Empresas, v. 53, n. 4, p. 350-362, 2013.
MARTINS, O. S.; PAULO, E. Assimetria de informação na negociação de ações, características econômico-financeiras e governança corporativa no mercado acionário brasileiro. Revista Contabilidade & Finanças, v. 25, n. 64, p. 33-45, 2014.
SILVA, C. Uma breve análise do contágio da crise subprime americana para a economia brasileira. A Economia em Revista, v. 18, n. 1, p. 123-137, 2010.

References: v. 
 v. 
 v. 
 v. 
 v. 
 v. 
 v. 
 v. 
 v. 
 v. 
 v. 
 v. 
 v. 
 v. 
 v. 
 v. 
 v. 
 v. 
 v. 
 v. 
 v. 
 v.