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

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  • Diego Agudelo
  • Diego Amaya
  • Juliana Hincapié
  • Julián Múnera

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.

Suggested Citation

  • Diego Agudelo & Diego Amaya & Juliana Hincapié & Julián Múnera, 2017. "Attention-based vs information-based trading around announcements. Evidence from an emerging market," Documentos de Trabajo de Valor Público 16359, Universidad EAFIT.
    • Handle: RePEc:col:000122:016359
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    References listed on IDEAS

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