Asymmetric Information and Firm Value During Pandemic Covid-19

Yıl 2021, Cilt: 3 Sayı: 1, 27 - 43, 30.06.2021

Arif Budi Satrio

Öz

The purpose of this study is to investigate the relationship between fundamental factors, asymmetric information, and firm value during the 2020 pandemic by taking samples of 457 non-financial companies listed on the Indonesian Stock Exchange. Two-stage least square testing by controlling the firm’s and industrial characteristics proves that asymmetric information does not have a dominant role in explaining firm value changes during the COVID-19 pandemic. This study also confirms that (1) the disclosure of information through corporate financial reports and foreign investors’ presence still has a dominant role in mitigating information gaps among traders; (2) foreign investors' trading behavior indirectly provides information through their shares' trading flow, which causes a decrease in asymmetric information. This comprehensive empirical testing provides additional evidence regarding asymmetric information and firm value in developing markets during the pandemic.

Anahtar Kelimeler

asymmetric information, firm value, firm characteristics, pandemic, COVID-19, emerging markets

Destekleyen Kurum

Ministry of Research and Technology of the Republic of Indonesia

Kaynakça

• Ahmed, B. (2020) 'Understanding the Impact of Investor Sentiment on the Price Formation Process: A Review of the Conduct of American Stock Markets' The Journal of Economic Asymmetries, 22, 1-29. doi:10.1016/j.jeca.2020.e00172
• Al-Awadhi, A. M., Alsaifi, K., Al-Awadhi, A., and Alhammadi, S. (2020) 'Death and Contagious Infectious Disease: Impact of the COVID-19 Virus on Stock Market Returns' Journal of Behavioral and Experimental Finance, 27. doi:10.1016/j.jbef.2020.100326
• Bagehot (1971) 'The Only Game in Town' Financial Analysis Journal, 27(2), 12-22. doi:10.2469/faj.v27.n2.12
• Baker, M., and Wurgler, J. (2007) 'Investor Sentiment in the Stock Market' Journal of Economic Perspectives, 21(2), 129-151. doi:10.1257/jep.21.2.129
• Booth, G. G., Kallunki, J.-P., and Shalström, P. (2011) 'Foreign VS Domestic Investors and the Post-Announcement Drift' International Journal of Managerial Finance, 7(3), 220-237. doi:10.1108/17439131111144441
• Chen, L.-J., and Chen, S.-Y. (2011) 'The Influence of Profitability on Firm Value with Capital Structure as the Mediator and Firm Size and Industry as Moderators' Investment Management and Financial Innovations, 8(3), 121-129. doi:10.1201/b11108-9
• Chen, M.-H., Jang, S. S., and Kim, W. G. (2007) 'The Impact of the SARS outbreak on Taiwanese Hotel Stock Performance: An Event-Study Approach' Hospitality Management, 26, 200-212. doi:10.1016/j.ijhm.2005.11.004
• Chincarini, L. B., Kim, D., and Moneta, F. (2020) 'Beta and Firm Age' Journal of Empirical Finance, 58, 50-74. doi:10.1016/j.jempfin.2020.05.003
• Chong, B.-U., and Kim, H. (2018) 'Capital Structure Volatility, Financial Vulnerability, and Stock Returns: Evidence from Korean Firms' Finance Research Letters, 30, 318-326. doi:10.1016/j.frl.2018.10.019
• Copeland, T. E., and Galai, D. (1983) 'Information Effects on the Bid-Ask Spread' The Journal of Finance, 38(5), 1457-1469. doi:10.2307/2327580
• Dhochak, M., and Sharma, A. K. (2015) 'Impact of Global Financial Crisis on Indian Venture Capital Firms: An Empirical Evaluation' Journal for International Business and Entrepreneurship Development, 8(4), 330-345. doi:10.1504/JIBED.2015.072931
• Donadelli, M., Kizys, R., and Riedel, M. (2017) 'Dangerous Infection Disease: Bad News for Main Steet, Good News for Wall Street?' Journal of Financial Markets, 35, 84-103. doi:10.1016/j.finmar.2016.12.003
• Fosu, S., Danso, A., Ahmad, W., and Coffie, W. (2016) 'Information Asymmetry, Leverage, and Firm Value: Do Crisis and Growth Matter?' International Review of Financial Analysis, 46, 140-150. doi:10.1016/j.irfa.2016.05.002
• French, K. R., and Roll, R. (1986) 'Stock Return Variances: The Arrival of Information and the Reaction of Traders' Journal of Financial Economics, 17(1), 5-26. doi:10.1016/0304-405X(86)90004-8
• Glosten, L. R. (1987) 'Components of the Bid-Ask Spread and the Statistical Properties of Transaction Prices' The Journal of Finance, 42(5), 1293-1307. doi:10.2307/2328528
• Glosten, L. R., and Milgrom, P. R. (1985) 'Bid, Ask, and Transaction Prices in A Specialist Market with Heterogeneously Informed Traders' Journal of Financial Economics, 14(1), 71-100. doi:10.1016/0304-405X(85)90044-3
• Harris, T. (2016) 'Earnings Announcement and Quoted Bid-Ask Spread of U.S. Bank Holding Companies' Finance Research Letters, 20, 223-228. doi:10.1016/j.frl.2016.10.003
• Healy, P. M., and Palepu, K. G. (2001) 'Information Asymmetry, Corporate Disclosure, and the Capital Markets: A Review of the Empirical Disclosure Literature' Journal of Accounting and Ecnomics, 31, 405-440. doi:doi.org/10.1016/S0165-4101(01)00018-0
• Huang, Q., Jiang, F., and Wu, S.-Y. J. (2018) 'Does Short-Maturity Debt Discipline Managers? Evidence from Crash-Rich Firms' Acquisition Decisions' Journal of Corporate Finance, 53, 133-154. doi:10.1016/j.jcorpfin.2018.10.001
• Huynh, T. L. D., Wu, J., and Duong, A. T. (2020) 'Information Asymmetry and Firm Value: Is Vietnam Different?' The Journal of Economic Asymmetries, 21. doi:10.1016/j.jeca.2019.e00147
• Ichev, R., and Marinč, M. (2018) 'Stock Prices and Geographic Proximity of Information: Evidence from the Ebola Outbreak' International Review of Financial Analysis, 56, 153-166. doi:10.1016/j.irfa.2017.12.004
• Jindra, J., and Moeller, T. (2020) 'Time Since Targets’ Initial Public Offerings, Asymmetric Information, Uncertainty, and Acquisition Pricing' Journal of Banking & Finance, 118, 105896. doi:10.1016/j.jbankfin.2020.105896
• Miller, E. M. (1987) 'Bounded Efficient Markets: A New Wrinkle to the EMH' The Journal of Portfolio Management, 13(4), 4-13. doi:10.3905/jpm.1987.409112
• Miller, M. H. (1994) 'Is American Corporate Governance Fatally Flawed?' Journal of APplied Corporate Finance, 6(4), 32-39. doi:10.1111/j.1745-6622.1994.tb00246.x
• Ng, A. C., and Rezaee, Z. (2020) 'Business Sustainability Factors and Stock Price Informativeness' Journal of Corporate Finance, 64. doi:10.1016/j.jcorpfin.2020.101688
• Nugroho, B. D., Subroto, B., and Rahman, A. F. (2015) 'Voluntary Disclosure, Ownership Structure, Information Asymmetry and Cost of Capital' IOSR Journal of Economics and Finance (IOSR-JEF), 6(3), 48-57. doi:10.9790/5933-06314857
• Setiawan, D., Bandi, B., Phua, L. K., and Trinugroho, I. (2016) 'Ownership Structure and Dividend Policy in Indonesia' Journal of Asia Business Studies, 12(3), 314-334. doi:10.1108/JABS-05-2015-0053
• Siagian, F., Siregar, S. V., and Rahadian, Y. (2013) 'Corporate Governance, Reporting Quality, and Firm Value: Evidence from Indonesia' Journal of Accounting in Emerging Economies, 3(1), 4-20. doi:10.1108/20440831311287673
• Thampanya, N., Wu, J., Nasir, M. A., and Liu, J. (2020) 'Fundamental and Bahavioural Determinants of Stock Returns Volatility in ASEAN-5 Countries' Journal of International Financial Markets, Institutions & Money, 65. doi:10.1016/j.intfin.2020.101193
• Uyar, A., and Kiliç, M. (2012) 'Value Relevance of Voluntary Disclosure: Evidence form Turkish Firms' Journal of Intellectual Capital, 13(3), 363-376. doi:10.1108/14691931211248918
• Wang, J.-X., and Zhao, M.-X. (2020) 'Economic Impacts of ISO 14001 Certification in China and the Moderating Role of Firm Size and Age' Journal of Cleaner Production, 274. doi:10.1016/j.jclepro.2020.123059
• Wang, P. (2014) 'Foreign Institutional Investor Trading in Chinese: A-Share Markets' Managerial Finance, 40(10), 1007-1023. doi:10.1108/MF-11-2013-0326
• Wen, Y. (2018) 'Voluntary information acquisition in an asymmetric-Information game:comparing learning theories in the laboratory' Journal of Economic Behavior & Organization, 150, 202-219. doi:10.1016/j.jebo.2018.03.023
• Yasser, Q. R., and Mamun, A. A. (2015) 'Effects of Ownership Concentration on Firm Performance-Pakistani Evidence' Journal of Asia Business Studies, 9(2), 162-176. doi:10.1108/JABS-07-2014-0047