The Effect of Information Asymmetry on Investment Risk in Tehran Stock Exchange Companies

Subject Areas :

Amir Geramiasl ¹ , Sadegh Sarbazi azad ² , Seyed Kazem Ebrahimi ³ , Ali Bahraminasab ⁴

1 -
2 - نویسنده
3 - استادراهنما
4 - نویسنده

Received: 2015-05-26 Accepted : 2016-12-05 Published : 2015-03-21

Keywords: Tehran Stock Exchange, Information Asymmetry, Investment Risks,

Abstract :

Risk taking is one of the most important factors in investment and analyzing the companies. Therefore investors concern about the factors which lead to greater investment risks. Information asymmetry is one of those important factors and has a deep connection with agency theory and investment management. It is believed that the information asymmetry leads to market inefficiency and eventually increases the investment risk. The purpose of this studies to evaluate the impact of information asymmetry on the investment risk in Tehran Stock Exchange companies. Eighty companies has been analyzed in a 4 year period. To measure information asymmetry, a gap between buy and sell orders has been measured. Panel data and generalized least squares (GLS) has been applied to assess the fit of the regression model. Results indicate that the information asymmetry has a significant and positive effect on the investment risk. Therefore, by increasing information asymmetry, investment risk increases; thus, investors should be aware of companies’ level of information asymmetry to decrease their investment risk