Signals of Market and Firm Characteristics and Asymmetric Information

Abstract

This study aims to determine the effects of market and firm characteristics on asymmetric information. This study finds that signals of the market and firm characteristics are likely to significantly explain to proxies for asymmetric information measured by two econometric model, trade-indicator model and serial covariance model. Analyzing 174 firms listed on HOSE from 2010 to 2016 with 1102 observations, this study finds that liquidity of stock and debt financing inversely and significantly impact on adverse selection component. Interestedly, unlike the extant literature, a negative relationship between volatility and adverse selection problem is found. In addition, this study also confirms a high level of growth opportunity and policy on widening price limit range have the positive and statistically significant effects on private information.