سنجش ضریب عدم تقارن اطلاعاتِ شرکتهای فعال در صنعت مواد غذایی و آشامیدنی ِبورس اوراق بهادار تهران

Abstract

Introduction: The significance of asymmetric information in determining market functions and explaining complexities is undeniable. Asymmetric information can strongly affect firms' performance in Stock Exchange, and can make firms with poor informational environment unattractive for investors. Therefore, trying to reduce asymmetric information can have an important effect on performance in Stock Exchange. Food and beverage firms in Tehran Stock Exchange have not been successful in attracting traders. This may be partially caused by the informational environment of these firms in market. Materials and Methods: This study aims to measure asymmetric information among active firms in the food and beverages industry in Tehran Stock Exchange between 2008 and 2015. Researchers have developed measures to determine the level of information asymmetry because is not directly observable. These measures fall into three categories (Clarke and Shastri, 2000). The first category uses measures based on growth opportunities and argues that firms with more growth opportunities have a symmetrical information environment. The second category uses measures based on predicted profit and argues that an increase in the level of a firm's information leads to convergence of expectations of that firm's future profits. The third category uses a series of measures based on market microstructure literature that are commonly compared with other categories. In doing so, we use Probability of Informed Trading (PIN) which is a modern index for measuring asymmetric information (third category). Easley and O'Hara (1992) offer a model of unusual order flow in the market, based on which one can estimate the probability of a random trading by an informed trader; higher values of PIN (in the range of 0 to 1) indicate more confidential information or higher levels of asymmetric information. The basic assumption of this model is that general information is reflected in prices directly and without the need for trading activity, while confidential information is reflected during unusual orders (surplus orders to buy or sell). Results and Discussion: In order to conduct a better analysis, the results of PIN index are provided in two parts: (1) food and beverage firms excluding those in the sugar industry and (2) firms in the sugar industry. Results show high asymmetric information in these firms. A review of PIN results shows a wide range of numbers between 0 and 1, but more numbers are close to 1, indicating high asymmetric information. Of course in some years and some firms this index is very close to zero, which means in some cases asymmetric information is very small and in most cases asymmetric information is relatively high. For instance, in the first group of firms, on average symbols MRAM1, SBEH1 and GBEH1 have lowest PIN index: values for first and second firms are approximately 0.26, and for third firms is 0.29. It is important to note that the lowest PIN values for active firms in this industry (0.26) shows high asymmetric information. Also, considering the same group of firms, symbols NOSH1, SLMN1 and CHCH1 have the highest PIN index, approximately equal to0.99; this means almost full asymmetric information. In sugar industry's firms, symbols SHKR1, GPSH1 and GESF1 have lowest PIN index, that PIN values for these firms are 0.31, 0.35 and 0.39 respectively. Also symbols GLOR1, GSHI1 and GNJN1 have the highest PIN indexes, equal to 0.62, 0.56 and 0.54, respectively. Overall, firms in the sugar industry have better informational environment compared to their other food and beverage firms. Conclusions: On average, the highest coefficient of asymmetric information in food products and beverages industry belongs to 2008 and the lowest coefficient occurred in 2015, when asymmetric information in the surveyed firms was reduced. This may be the result of two events. Increased informational level of traders in market and more good news which improved the traders' expectations of future investment in Tehran Stock Exchange. Positive political events had a great role in this case. In general, PIN values had a direct relationship with instabilities in Tehran Stock Exchange. Also, it is important to note that the food and beverages industry is a relatively small industry in Tehran Stock Exchange, and it is natural that it does not have a great success to attracting capital flow. However, food and beverage firms in Tehran Stock Exchange should try to reduce their asymmetric information to be able to earn better growth in the market.