Attention-based vs information-based trading around announcements. Evidence from an emerging market

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dc.contributor.authorAgudelo, Diego
dc.contributor.authorAmaya, Diego
dc.contributor.authorHincapié, Juliana
dc.contributor.authorMúnera, Julián
dc.contributor.eafitauthordagudelo@eafit.edu.co
dc.contributor.eafitauthordamaya@wlu.ca
dc.contributor.eafitauthorsjhincapis@eafit.edu.co
dc.contributor.eafitauthordmunera3@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.accessioned2018-06-25T21:23:50Z
dc.date.available2018-06-25T21:23:50Z
dc.date.issued2017-12-15
dc.description.abstractWe 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.eng
dc.identifier.urihttp://hdl.handle.net/10784/12417
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.titleAttention-based vs information-based trading around announcements. 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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