Documentos de trabajo (working papers)

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https://hdl.handle.net/10784/33510

Los investigadores pertenecientes a la Escuela de Finanzas, Economía y Gobierno publican sus documentos de trabajo. Con la publicación de éstos se pretende apoyar la difusión de investigación económica y financiera de alta calidad realizada dentro de la Escuela de Finanzas, Economía y Gobierno de la Universidad EAFIT. Los documentos se constituyen "en material provisional", se publican con el fin de estimular el debate académico. Están dirigidos a expertos, así, los lectores deben tener conocimiento de la economía y finanzas. Las opiniones y posibles errores son responsabilidad única y exclusiva de los autores y no comprometen a la Escuela de Finanzas, Economía y Gobierno, ni a la Universidad EAFIT.

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Mostrando 1 - 17 de 17

Anuncios macroeconómicos y mercados Accionarios: El caso Latinoamericano
(Universidad EAFIT, 2011-12-15) Agudelo, Diego A.; Gutierrez, Angelo
Do stock markets reflect changes on the macroeconomic fundamentals? . The semi-strong form of the Efficient market hypothesis (HEM - Fama 1970) asserts that stock prices should react immediately to the surprise content on announcements of macroeconomic variables, without predictable over or under reaction. We test this in the six main Latin-American equity markets: Argentina, Brazil, Chile, Colombia, México and Perú, for the announcements of Consumer Price Inflation, Central Bank interest rate, GDP growth, Trade Balance and Unemployment rate. Following Flannery and Protopapadakis (2002), we estimate the effect of the surprises of such announcements, using time series models of conditional volatility, controlling of the exchange rate and international stock markets. We found that the effects on the market returns are significant and with the expected sign only for the CPI in Mexico, for the interest rate in Chile and Colombia, and for Unemployment on those three markets. Moreover, in some cases the stock markets incorporate the announcement with a lag, whereas in others, they react to the announcement rather than to the surprise, in conflict with the HEM. We conclude that the Latin-American stock markets react only partially to the macroeconomic announcements and not fully incorporating the new information in an efficient manner.
Are foreigners the vectors of Contagion? A study of six emerging markets
(Universidad EAFIT, 2018-11) Agudelo, Diego A.; Múnera, Daimer J.; dagudelo@eafit.edu.co; dmunera3@eafit.edu.co
We investigate for the role of Foreigners, Local Institutions and Local individuals in days of Contagion in a set of six emerging markets from 2007 to 2016. We propose a new and intuitive continuous measure of Contagion based on the probability of a coincidence of daily negative returns in both the S&P500 and the local index, in excess of what can be explained by fundamentals. Using a VAR setting, we find that Foreigners sells induce Contagion, and that they keep selling in the following days. We also find evidence of Foreigners acting as the transmitters of large drops in the US stock market to emerging ones. Institutions also contribute to Contagion days with net sales, but they become net buyers from the day after. Finally, individuals are net buyers in Contagion days.
Behavioral Finance. Una introducción a los conceptos y aplicaciones
(Universidad EAFIT, 2018-11) Agudelo, Diego A.; dagudelo@eafit.edu.co
En los últimos 30 años Behavioral Finance se ha convertido de un área marginal a un tema recurrente en estudios académicos y de creciente importancia en la práctica de las Finanzas. En este documento pretendo ofrecer una introducción al tema de Behavioral Finance, orientada para estudiantes y profesionales en Finanzas, enfocada en los sesgos cognitivos que con más frecuencia afectan las decisiones financieras. Se parte de una discusión breve de los orígenes sicológicos de los sesgos, y se explican los principales sesgos, incluyendo aquellos basados en heurísticas, los de origen social y los que proceden de limitaciones de procesamiento mental, ilustrándolos con ejemplos de su presencia en Mercados Financieros e Inversiones, y en algunos casos, en Finanzas Corporativas o Personales. Se expone al final porqué los sesgos de Behavioral Finance tienen un efecto importante en los Mercados Financieros, con base en la teoría de los límites al arbitraje.
Calidad de mercado y reformas al sistema transaccional. El Caso de X-Stream en el Mercado accionario colombiano
(Universidad EAFIT, 2013-03-15) Agudelo, Diego A.; Gutiérrez, Ángelo; Múnera, Nazly J.
We estimate the effect of the new trading system, X-Stream, on the market quality of the Colombian Stock Exchange on February 2009. We test the effect on liquidity measures (bid-ask margin and price impact), daily and intraday volatility and trading activity, using mean tests, panel data and conditional variance models. We use a proprietary database of transactional and order data from the exchange. The evidence is consistent with X-Stream improving liquidity and reducing volatility in the overall market and on most of the most liquid stocks. These results support the investment on more sophisticated trading systems in Emerging Markets.
Do Local or Foreign traders know more in an emerging market? A possible solution of the puzzle.
(Universidad EAFIT, 2007-07-15) Agudelo, Diego A.
A branch of the literature in international finance has tried to give a definitive answer to the question, who is better informed in an emerging market, Foreigners or Locals?. We measured the probability of informed trading (PIN) for the Jakarta Stock Exchange for two types of investors, foreigners and locals, developing an extension of the model of Easley, Kiefer and O’Hara (1997). We find that locals do most of the informed trades, but also most of the uninformed trades. On the other hand, given the type of investor, foreigners are more likely to be informed than locals. Besides, the evidence shows that locals tend to be more informed in smaller and more volatile firms, whereas foreigners tend to be more informed in larger an less volatile firms and firms with higher foreign ownership. We also find evidence of market-wide effects on liquidity from the foreign informed trades but not from the local ones.
Do news improve liquidity through improved information or visibility? Evidence from Emerging Markets.
(Universidad EAFIT, 2015-03-01) Agudelo, Diego A.; Cortes, Lina M.; Vasco, Mateo; dagudelo@eafit.edu.co; lcortesd@eafit.edu.co; mvascoco@eafit.edu.co
Market microstructure models imply that informed trading reduces liquidity. We test for the effect of the frequency of new releases, as a proxy of information arrival, on liquidity in the Chilean stock market. We find that news release frequency is strongly related to improved liquidity. Those results appear for both negative a positive news days and are robust using four different measures of liquidity: bid-ask spread, Amihud measure and two versions of the Zero trading variable. We also find evidence consistent with visibility and information arrival interacting for enhancing liquidity.
Does Information Asymmetry matter in emerging markets?. Evidence from six Latin American stock markets
(Universidad EAFIT, 2011-11-10) Agudelo, Diego A.; Villaraga, Edwin; Giraldo, Santiago
Does informed trading affect emerging stock markets? Market microstructure literature establishes that information asymmetry reduces liquidity and moves prices in the direction of the trade. We test for this theoretical implication by running the dynamic PIN model of Easley, Engle, O’Hara y Wu (2008), for stocks of Argentina, Brazil, Chile, Colombia, Mexico and Peru. We use panel data models to test for the relation between PIN, as a measure of information asymmetry, bid-ask spreads, as a measure of liquidity, and returns. The reported results confirm the mentioned theoretical implications, the empirical validity dynamic PIN model, and contribute to a better understanding of price formation in emerging markets.
Friend or Foe? Foreign investors and the liquidity of six Asian markets
(Universidad EAFIT, 2010-07-15) Agudelo, Diego A.
Studying Foreign flows and the liquidity of six Asian markets we provide evidence of two empirical regularities: On the one hand, foreign trade has a negative but transitory impact on the overall liquidity of the market on a daily basis. This finding is shown consistent with two hypotheses: that foreign investors demand liquidity more aggressively than locals, and, to a lesser extent, that foreigners incorporate market-wide information. On the other hand, the overall share of foreign ownership in the market is positively related to improved liquidity, as shown in a sample of emerging markets, after controlling for a set of confounding factors. Overall, the results portray foreign investors as aggressive liquidity demanding, and nevertheless having a positive effect on the liquidity in short horizons
A History of Violence: The impact of early violence exposure on financial risk preferences
(Universidad EAFIT, 2015-02-06) Byder, James; Agudelo, Diego A.; Uribe-Castro, Mateo; jbyder@eafit.edu.co; dagudelo@eafit.edu.co
This paper examines whether growing up in areas with high homicide rates affects financial risk preferences. Our key conjecture is that individuals who have grown up in violent areas possess more risk averse financial preferences. We find support for this hypothesis using a unique dataset of mutual fund investors from one of Colombia’s largest stock brokers alongside Colombian official data on homicide rates.
How does information disclosure affect liquidity? Evidence from an Emerging Market
(Universidad EAFIT, 2018-11) Agudelo, Diego A.; Arango, Ignacio; iarang14@eafit.edu.co; dagudelo@eafit.edu.co
Cross-sectional models positively relate firm information disclosure with stock liquidity, but dynamic models in news releases days show an opposite relation. We address this puzzle by studying the effects of information arrival on liquidity and its determinants. We use trade and quote data from Colombia for 2015 and 2016, along with the complete database of news releases as reported by companies to the regulator. The results of Panel data and PVAR models suggest that news releases increase both informed and uninformed trading. All in all, the temporal negative effect of news releases on liquidity is explained by increasing asymmetric information.
Liquidez en los Mercados Accionarios Latinoamericanos: Estimando el efecto del Mercado Integrado Latinoamericano (MILA)
(Universidad EAFIT, 2012-12-15) Agudelo, Diego A.; Barraza, Santiago E.; Castro, María Isabel; Mongrut, Samuel
In this study one estimates transaction costs associated with intraday liquidity of shares belonging to six Latin American stock markets (Argentina, Brazil, Chile, Colombia, Mexico and Peru) during a period of six months (July 2009 - January 2010). We found that countries with higher market capitalization such as Brazil, Mexico and Chile have lower transaction costs associated with liquidity than Peru, Argentina and Colombia. Moreover, using a panel data model we identified that there is a negative relationship between transaction costs and trading activity and between transaction costs and the volatility of stock returns. Finally, we found that there are important differences between the stock markets of Chile, Colombia and Peru that justify their inclusion in the Integrated Latin American Market (MILA) and that the potential savings in transaction costs associated with a modest increase of 10% in trading activity ranges between 10 and 36 million of dollars for the three countries being the Chilean and Colombian’s markets the most benefited because they have transactions with a higher average value.
Liquidity spillover effects of equity offerings over dual-class shares
(Universidad EAFIT, 2014-07-01) Vasco, Mateo; Agudelo, Diego A.; mvascoco@eafit.edu.co; dagudelo@eafit.edu.co
We study the spillover effect from equity offerings over dual-class shares. Whereas, evidence has been found that a seasoned equity offering improves stock liquidity, the effect over the liquidity of different type shares of the same firm has not been explored. We use equity offerings of five Latin American countries: Brazil, Chile, Colombia, Mexico and Peru, during 1995 to 2012, because dual-class shares are widely used in the regions. In spite of the expected information asymmetry reduction, using panel data models we found a stock liquidity reduction of dual-class shares upon the offering; consistent with trading migration effects, according with the theory of inventory costs.
Market quality and structural changes in the trading system: The case of X-Stream on the Colombian stock exchange.
(Universidad EAFIT, 2014-03-01) Agudelo, Diego A.; Gutiérrez, Ángelo; Múnera, Nazly J.; dagudelo@eafit.edu.co; agutie28@eafit.edu.co; nmuneram@eafit.edu.co
We study the effect of X-Stream, the new trading platform of the Colombian Stock Exchange since February 2009, on the quality of the stock market. Contributing to the literature on market quality, this paper provides novel evidence of the effect of reforms on market design, trading rules and operational capabilities on a small and low liquidity emerging stock market. Starting from a proprietary database of transactional and order data from BVC, we use several econometric models to measure the effect of the new platform on daily and intraday volatility, liquidity (proportional bid-ask spread and price impact), and trading activity. The evidence suggests that X-Stream improved the liquidity and reduced the volatility of the overall market, especially of the most liquid stocks. These results support the investment on more sophisticated trading systems in Emerging Markets.
Measuring the effectiveness of volatility auctions
(Universidad EAFIT, 2018-11) Agudelo, Diego A.; Preciado, Sergio; Castro, Carlos; carlos.castro@urosario.edu.co; dagudelo@eafit.edu.co; preciado.sergio92@gmail.com
We propose a method for event studies based on synthetic portfolios that provides a robust data-driven approach to build a credible counterfactual. The method is used to evaluate the effectiveness of volatility auctions using intraday data from the Colombian Stock Exchange. The results indicate that the synthetic portfolio method provides an accurate way to build a credible counterfactual that approximates the behavior of the asset if the auction had not taken place. The main results indicate that the volatility auction mitigates the volatility of the asset, but its effect on liquidity and trading activity is ambiguous at best.
Volatility transmission between US and Latin American Stock Markets: testing the decoupling hypothesis.
(Universidad EAFIT, 2015-10-01) Agudelo, Diego A.; Gutiérrez, Marcela; Cardona, Laura; dagudelo@eafit.edu.co; mgutie12@eafit.edu.co; lcardona@eafit.edu.co
We test for volatility transmission between US and the six largest Latin American stock markets (Argentina, Brazil, Chile, Colombia, Mexico and Peru) using MGARCH-BEKK models in daily frequency from March 1993 to March 2013. As expected, we find strong evidence of volatility transmission from US to the Latin American markets but not so in the opposite direction. Testing the hypothesis of decoupling between US and Brazil and Mexico the evidence goes against it: the conditional correlations between US and the two emerging markets have steadily increased over the sample period and the volatility transmission have become more significant from 2003 onwards. We also find some evidence on the leadership of Brazil in the region, being the only Latin American stock market consistently transmitting volatility to US.
Waves and determinants in the activity of Mergers and Acquisitions: The Case of Latin America
(Universidad EAFIT, 2012-12-15) Cortés, Lina M.; Agudelo, Diego A.; Mongrut, Samuel
This paper contributes to the current literature of mergers and acquisitions (M&As) by studying the existence of waves and the determinants of M&A activity in the economies of Argentina, Brazil, Chile, Colombia, Mexico and Peru. From a sample of 2,490 M&As announcements reported by Thomson One for these countries, and applying the methodology proposed by Harford (2005), evidence of M&A waves is found for the periods 1993-2002 and 2003-2010 as reported for other regions in various international studies. After controlling for economic and business environment variables, as well as for profitability and book-to-market variables at industry level, we find evidence in favor of the neoclassical theory as a main explanation for M&As, but not for the misvaluation effect. For this purpose, a Prais-Winsten data model with panel corrected standard errors (PCSE) is used, and the results are confirmed through a negative binomial panel data estimation.
Who knows better in an Emerging Market? Performance of Institutions, Foreigners and Individuals.
(Universidad EAFIT, 2015-12-01) Agudelo, Diego A.; Byder, James E.; Yepes, Paula; dagudelo@eafit.edu.co; jbyder@eafit.edu.co; pyepes@eafit.edu.co
We find that local investors do better than foreigners in terms of trading execution. However foreign investors obtain better returns than local individuals both in short and long term. Local institutions are the best group on both dimensions. Our result reconcile apparent contradictions in the international finance literature on who invests better in an emerging market. These contradictions disappears with a more careful formulation of the research question at hand. The traditional Locals vs Foreigners or Institutions versus Individuals is too simplistic because it doesn’t distinguish between the different dimensions of performance. Our study makes use of two unique databases of Colombian stocks and acts as out-of-sample test of previous findings. Moreover, we provide evidence that the better performance of Institutions and Foreigners is driven by information advantages.

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