Examinando por Autor "Yepes, Paula"

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    Ítem
    Muddying the waters: Who Induces Volatility in an Emerging Market?
    (Universidad EAFIT, 2018-11) Yepes, Paula; Agudelo, Diego; Gencay, Ramazan; dagudelo@eafit.edu.co
    Do all investor types contribute equally to volatility formation? Although stock volatility should ideally originate only from fundamental innovations, it is embedded into prices through the trading process. We compare the relative contributions of trading by local institutions, local individuals and foreign institutions to the volatility of individual stocks, using a proprietary dataset and a battery of robust measures. Overall, neither local nor foreign institutions are the major drivers of volatility, not even during times of financial stress. Individuals consistently appear to induce more of the volatility and liquidity, behaving as the archetypical noise traders but also as liquidity providers.
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    Ítem
    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.