How does information disclosure affect liquidity? Evidence from an Emerging Market

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dc.contributor.authorAgudelo, Diego A.
dc.contributor.authorArango, Ignacio
dc.contributor.eafitauthoriarang14@eafit.edu.co
dc.contributor.eafitauthordagudelo@eafit.edu.co
dc.coverage.spatialMedellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degreeseng
dc.date.accessioned2018-11-10T19:01:58Z
dc.date.available2018-11-10T19:01:58Z
dc.date.issued2018-11
dc.description.abstractCross-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.eng
dc.identifier.jelG10
dc.identifier.jelG15
dc.identifier.jelG19
dc.identifier.urihttp://hdl.handle.net/10784/13129
dc.language.isoengeng
dc.publisherUniversidad EAFITspa
dc.publisher.departmentEscuela de Economía y Finanzasspa
dc.rights.accessrightsinfo:eu-repo/semantics/openAccesseng
dc.rights.localAcceso abiertospa
dc.subject.keywordLiquidityspa
dc.subject.keywordAsymmetric Informationspa
dc.subject.keywordInformed Tradingspa
dc.subject.keywordNews releasesspa
dc.subject.keywordEmerging Markettsspa
dc.titleHow does information disclosure affect liquidity? Evidence from an Emerging Marketeng
dc.typeworkingPapereng
dc.typeinfo:eu-repo/semantics/workingPapereng
dc.type.hasVersiondrafteng
dc.type.localDocumento de trabajo de investigaciónspa

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