Diego Richard da Silva

Asset Pricing and Asymmetric Information

Alexandre Ripamonti, Diego Richard da Silva & Eurico Batista Moreira Neto · Asian Journal of Economics, Business and Accounting · 2018

This study applies Johansen-Fisher panel cointegration to a sample of the most liquid shares on the Brazilian stock market for 20 years. It finds that stock prices are determined by the asymmetric information of a lagged period, and the dilution of information corrects stock pric...