This study sought to analyze information asymmetry in the Brazilian stock market and its relation with the returns required from portfolios through the metrics volume-synchronized probability of informed trading. To do this, the study used actual data from the transactions of 142 stocks on the Brazilian Securities, Commodities and Futures Exchange (BM&FBOVESPA), within the period from May 1, 2014, to May 31, 2016. The results point out a high flow toxicity level in the orders of these stocks. In segment analyses of the stock market listing, data suggest there is no clue that stocks from the theoretically more overt segments have a lower toxicity level of order flows. The justification for this finding lies on the negative correlation observed between the market value of stocks and the toxicity level of orders. To test the effect of asymmetric information risk on stock returns, a factor related to the toxicity level of orders was added to the three-, four-, and five-factor models. Through the GRS test, we observed that the combination of factors that optimize the explanation of returns of the portfolios created was the one taking advantage of the factors market, size, profitability, investment, and information risk. To test the robustness of these results, the Average F-test was used in data simulated by the bootstrap method, and similar estimates were obtained. It was observed that the factor related to the book-to-market index becomes redundant in the national scenario for the models tested. Also, it was found that the factor related to information risk works as a complement to the factor size and that its inclusion leads to an improved performance of the models, indicating a possible explanatory power of information risk on portfolio returns. Therefore, data suggest that information risk is priced in the Brazilian stock market.

A estratégia baseada no índice Shiryaev-Zhou (S-Z), ao fornecer o momento ótimo para compra e venda de ações, possibilita a maximização do resultado do investidor, sendo, portanto, um contraponto à estratégia buy-and-hold (B-H). Este artigo é o primeiro na literatura nacional que tem por objetivo comparar a estratégia B-H com as sinalizações do índice S-Z com ações listadas na B3 (Brasil, Bolsa, Balcão). A amostra analisada foi composta pelas 29 ações que permaneceram no Ibovespa entre outubro de 2008 e fevereiro de 2015. As estratégias foram analisadas com e sem a incidência de custos de transação e também por ano. Os resultados indicam de maneira geral que a estratégia B-H se mostrou mais rentável para as ações no período analisado. Há, no entanto, indícios de que o índice S-Z pode ser útil para investidores em períodos de recessão e ao se investir em ações com perspectiva de queda em suas cotações.