O efeito do risco de informação assimétrica sobre o retorno de ações negociadas na BM&FBOVESPA

Abstract

The Informational risk has been at the center of discussion regarding asset pricing since the seminal work of Fama (1970). Measuring the probability of informed trading gained strength with the works of Easley and OHara (1987) and Easley et al. (1996). In order to verify if theres a part of the portfolios returns in the brazilian stock market that can be explained by its informational content, this study used the VPIN metric, developed by Easley, López de Prado and OHara (2011a), calculated with real data obtained by the BM&FBovespas market data. This metric was applied alongside the three and five factors models of Fama and French (1993, 2015) and the Carhart (1997) four factor model. A VPIN factor related to the informational risk of the assets was createad. By applying the GRS and Average F-test and the bootstrap simulation method it was found that the combination of factors that best explains the required returns of portfólios was the market, size, profitability, investiment and informational factors. As in the Fama and French (2015) study, the HML factor became redundant in the analysis of the brazilian stock market. The results suggest the informational factor works as a complement to the size factor. It was also documented that the information risk factor increases the modelsperformance, which indicates that the information content has possibly a power of explanation on the portfolios returns analyzed in this study.