Measuring Information Asymmetry in Event Time


I describe the importance of using event time in measure information asymmetry in U.S. equity markets. Information asymmetry between market participants represents a risk that is compensated by a higher expected return for both short-term traders and long-term investors. Firms with greater information asymmetry have higher expected returns and lower prices while firms with lower information asymmetry have lower expected returns and higher prices. A long/short trading strategy built on these results produces abnormal returns of 11.45% per year.

Feb 14, 2020 4:00 PM
University of Toledo Department of Mathematics and Statistics
2801 W. Bancroft St, Toledo, OH 43606
Stephen Rush
Assistant Professor of Finance

My research interests include Market Microstructure, Empirical Asset Pricing, and Investment Management