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

Diego Agudelo (), Diego Amaya (), Juliana Hincapié () and Julián Múnera ()

No 16359, Documentos de Trabajo de Valor Público from Universidad EAFIT

Abstract: 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.

Pages: 31
Date: 2017-12-15
New Economics Papers: this item is included in nep-mst
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Persistent link: https://EconPapers.repec.org/RePEc:col:000122:016359

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