Attention-based vs information-based trading around announcements. Evidence from an emerging market
We investigate who trades around new releases associate with large price changes in the Colombian Stock Exchange. We take advantage of two unique datasets: a transaction database with investor ids and a database of news reported to the regulator. We identify that both informed and attention-driven t...
- Autores:
-
Agudelo, Diego
Amaya, Diego
Hincapié, Juliana
Múnera, Julián
- Tipo de recurso:
- Fecha de publicación:
- 2017
- Institución:
- Universidad EAFIT
- Repositorio:
- Repositorio EAFIT
- Idioma:
- eng
- OAI Identifier:
- oai:repository.eafit.edu.co:10784/12417
- Acceso en línea:
- http://hdl.handle.net/10784/12417
- Palabra clave:
- Rights
- License
- Acceso abierto
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| dc.title.eng.fl_str_mv |
Attention-based vs information-based trading around announcements. Evidence from an emerging market |
| title |
Attention-based vs information-based trading around announcements. Evidence from an emerging market |
| spellingShingle |
Attention-based vs information-based trading around announcements. Evidence from an emerging market |
| title_short |
Attention-based vs information-based trading around announcements. Evidence from an emerging market |
| title_full |
Attention-based vs information-based trading around announcements. Evidence from an emerging market |
| title_fullStr |
Attention-based vs information-based trading around announcements. Evidence from an emerging market |
| title_full_unstemmed |
Attention-based vs information-based trading around announcements. Evidence from an emerging market |
| title_sort |
Attention-based vs information-based trading around announcements. Evidence from an emerging market |
| dc.creator.fl_str_mv |
Agudelo, Diego Amaya, Diego Hincapié, Juliana Múnera, Julián |
| dc.contributor.eafitauthor.none.fl_str_mv |
dagudelo@eafit.edu.co damaya@wlu.ca sjhincapis@eafit.edu.co dmunera3@eafit.edu.co |
| dc.contributor.author.none.fl_str_mv |
Agudelo, Diego Amaya, Diego Hincapié, Juliana Múnera, Julián |
| description |
We investigate who trades around new releases associate with large price changes in the Colombian Stock Exchange. We take advantage of two unique datasets: a transaction database with investor ids and a database of news reported to the regulator. We identify that both informed and attention-driven traders are two distinct groups of individuals. The former tend to hold larger and more diversified portfolios and trade more actively than the latter. Individuals do most of the liquidity providing around events. We report some evidence of momentum trading by Institutions after those large price changes. No significant participation of foreign investors around the events was found. These results highlight the critical role of retail investors and the need to improve the information environment and institutions’ sophistication in a small Emerging Market. |
| publishDate |
2017 |
| dc.date.issued.none.fl_str_mv |
2017-12-15 |
| dc.date.available.none.fl_str_mv |
2018-06-25T21:23:50Z |
| dc.date.accessioned.none.fl_str_mv |
2018-06-25T21:23:50Z |
| dc.type.eng.fl_str_mv |
workingPaper info:eu-repo/semantics/workingPaper |
| dc.type.coarversion.fl_str_mv |
http://purl.org/coar/version/c_b1a7d7d4d402bcce |
| dc.type.coar.fl_str_mv |
http://purl.org/coar/resource_type/c_8042 |
| dc.type.local.spa.fl_str_mv |
Documento de trabajo de investigación |
| dc.type.hasVersion.eng.fl_str_mv |
draft |
| dc.identifier.uri.none.fl_str_mv |
http://hdl.handle.net/10784/12417 |
| url |
http://hdl.handle.net/10784/12417 |
| dc.language.iso.eng.fl_str_mv |
eng |
| language |
eng |
| dc.rights.coar.fl_str_mv |
http://purl.org/coar/access_right/c_abf2 |
| dc.rights.local.spa.fl_str_mv |
Acceso abierto |
| rights_invalid_str_mv |
Acceso abierto http://purl.org/coar/access_right/c_abf2 |
| dc.coverage.spatial.eng.fl_str_mv |
Medellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degrees |
| dc.publisher.spa.fl_str_mv |
Universidad EAFIT |
| dc.publisher.department.spa.fl_str_mv |
Escuela de Economía y Finanzas |
| institution |
Universidad EAFIT |
| bitstream.url.fl_str_mv |
https://repository.eafit.edu.co/bitstreams/7df998f7-794d-4bc2-a978-31ef35e7d503/download https://repository.eafit.edu.co/bitstreams/36c77050-f3b8-435c-b401-2d0924ca10f0/download |
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repositorio@eafit.edu.co |
| _version_ |
1818102423769579520 |
| spelling |
Medellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degrees2018-06-25T21:23:50Z2017-12-152018-06-25T21:23:50Zhttp://hdl.handle.net/10784/12417We investigate who trades around new releases associate with large price changes in the Colombian Stock Exchange. We take advantage of two unique datasets: a transaction database with investor ids and a database of news reported to the regulator. We identify that both informed and attention-driven traders are two distinct groups of individuals. The former tend to hold larger and more diversified portfolios and trade more actively than the latter. Individuals do most of the liquidity providing around events. We report some evidence of momentum trading by Institutions after those large price changes. No significant participation of foreign investors around the events was found. These results highlight the critical role of retail investors and the need to improve the information environment and institutions’ sophistication in a small Emerging Market.engUniversidad EAFITEscuela de Economía y FinanzasAttention-based vs information-based trading around announcements. Evidence from an emerging marketworkingPaperinfo:eu-repo/semantics/workingPaperDocumento de trabajo de investigacióndrafthttp://purl.org/coar/version/c_b1a7d7d4d402bccehttp://purl.org/coar/resource_type/c_8042Acceso abiertohttp://purl.org/coar/access_right/c_abf2dagudelo@eafit.edu.codamaya@wlu.casjhincapis@eafit.edu.codmunera3@eafit.edu.coAgudelo, Diego487e52f8-5a74-40d0-8f83-9f274e8c4307-1Amaya, Diegoc330c78d-d5f6-49df-bb8a-de9b022b15c7-1Hincapié, Juliana63fe72a8-5ad4-4342-9c66-303c64c74ae2-1Múnera, Julián63059f60-87c9-4a37-be77-1d1edd7dadc6-1LICENSElicense.txtlicense.txttext/plain; charset=utf-82556https://repository.eafit.edu.co/bitstreams/7df998f7-794d-4bc2-a978-31ef35e7d503/download76025f86b095439b7ac65b367055d40cMD51ORIGINALWP-2017-22 Diego Agudelo.pdfWP-2017-22 Diego Agudelo.pdfapplication/pdf1130195https://repository.eafit.edu.co/bitstreams/36c77050-f3b8-435c-b401-2d0924ca10f0/downloadff00103a14b7edbc432d8f0b08aa7484MD5210784/12417oai:repository.eafit.edu.co:10784/124172024-12-04 11:49:35.948open.accesshttps://repository.eafit.edu.coRepositorio Institucional Universidad EAFITrepositorio@eafit.edu.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 |