How the asymmetric information affects the Stock Returns: Approach of VPIN on the Tehran Stock Exchange

Abad, D., & Yagüe, J. (2012). From PIN to VPIN: An introduction to order flow
toxicity. The Spanish Review of Financial Economics (SRFE), 2(10), 74–83.
Carhart, M. (1997). On persistence in mutual fund performance, The Journal of
Finance, 52(1), 57–82.
Cheshomi, A. & Osmani, F. (2021). Stock Market Returns in Iran in Three Waves
of COVID-19 Pandemic: Evidence of Multiple Breaks Regression, Iranian
Journal of Economic Studies (IJES), 10(2), 339-364.
Easley, D., Kiefer, N., O’Hara, M., & Paperman, J. (1996). Liquidity, information,
and infrequently traded stocks. The Journal of Finance, 51(4), 1405–1436.
Easley, D., López de Prado, M., & O’Hara, M. (2012). The exchange of flow
toxicity.The Journal of Trading, 6(2), 8–13.
Fama, E., & French, K. (1993). Common risk factors in the returns on stocks and
bonds. Econ. The Journal of Finance, 33, 383–417.
Fama, E., & French, K. (2015). A five-factor asset pricing model. Econ. The
Journal of Finance, 116, 1–22.
Mahinizadeh, M., Yavarib, K., Valibeigic, H., & Shafieia, A. (2018). The Effect
of Asymmetric Information in the Money Market on Investment,
Employment, and Production in Iran, Iranian Journal of Economic Studies
(IJES), 7(2), 191-217.
Mirbagherijam, M. (2020). Ranking the Trading Symbols of the Largest
Companies Listed in the Tehran Stock Exchange Based on the Probability of
Informed Trade Criteria, The Iranian Economic Review, 24(3), 567–589.
Esmaeeli et al., Iranian Journal of Economic Studies, 12(1) 2023, 31-49 45
Miri, S., & Kiani, H. (2015). The Impact of Asymmetric Information and Stock
Market Development on Economic Growth in Iran. Applied Economics, 5,
43–59.
Mohanram, P., & Rajgopal, S. (2009). Is PIN priced risk? Journal of Accounting
and Economics, 47, 226–243.
Molaei, S., & Samadi, S. (2016). Empirical Analysis of Price Jump and
Asymmetric Information in Tehran Stock Exchange. Journal of Financial
Management Strategy (JFM), 4(13), 65–81.
Shamsoddini, M., Shahiki Tash, M. N., & Khodadad-Kashi, F. (2016). Measuring
information asymmetry in large active firms on the Tehran stock exchange,
Scientific Annals of Economics and Business, 63(3), 333–346.
Siqueira, L. S., Amaral, H. F, & Correia, L. F. (2017). The effect of asymmetric
information risk on return of stocks traded on the
BM&FBOVESPA, Revista Contabilidade e Financas, 28, 425–444.
Taleblo, R., & Rahmaniani, M. (2017). Measuring Probability of Informed
Trading in Tehran Stock Exchange. Journal of Economic Modeling Research
(JEMR), 8(29), 73–98.
Wei, W., Gerace, D., & Frino, A. (2013). Informed trading, flow toxicity, and the
impact on the intraday trading factors. Australasian Accounting Business and
Finance Journal, 7(2), 3–24.
Van Ness, B. F., Van Ness, R. A., & Yildiz, S. (2017). The role of HFTs in order
flow toxicity and stock price variance, and predicting changes in HFTs
liquidity provisions, Journal of Economics and Finance, 41(4), 739–762.