Cross-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...

This paper examines whether growing up in areas with high homicide rates affects financial risk preferences. Our key conjecture is that individuals who have grown up in violent areas possess more risk averse financial preferences. We find support for this hypothesis using a unique dataset of...

This paper examines the performance of Institutions, Foreigners and Individuals in Emerging Markets. We find that Local institutions produce better outcomes than both foreigners and local individuals on all performance measures. Comparing local individuals with foreigners we find that local...

This paper contributes to the current literature of mergers and acquisitions (M&As) by studying the existence of waves and the determinants of M&A activity in the economies of Argentina, Brazil, Chile, Colombia, Mexico and Peru. From a sample of 2,490 M&As announcements reported by Thomson One...

Resumen:En este estudio se estiman los costos de transacción asociados a la liquidez intradiaria de acciones que pertenecen a seis mercados accionarios latinoamericanos (Argentina, Brasil, Chile, Colombia, México y Perú) durante un periodo de seis meses (Julio 2009 - Enero 2010). Se encontró...

Resumen:Se estima el efecto de la implementación de la plataforma transaccional X-Stream en la calidad de mercado accionario colombiano en Febrero de 2009. En particular se estudia el efecto en medidas de liquidez, (margen oferta-demanda e impacto en el precio), volatilidad diaria e...

A branch of the literature in international finance has tried to give a definitive answer to the question, who is better informed in an emerging market, Foreigners or Locals?. We measured the probability of informed trading (PIN) for the Jakarta Stock Exchange for two types of investors,...

Does informed trading affect emerging stock markets? Market microstructure literature establishes that information asymmetry reduces liquidity and moves prices in the direction of the trade. We test for this theoretical implication by running the dynamic PIN model of Easley, Engle, O’Hara y Wu...

Resumen:Reflejan los mercados accionarios los fundamentales macroeconómicos de un país?. La hipótesis de eficiencia semifuerte (Fama 1970) implica que los mercados accionarios deben reaccionar inmediatamente, y sin sobre ni subreacción predecible, a las sorpresas en los anuncios...

Does the disposition effect appear in bond trades as in stocks?. We apply the Odean's measure (1998) to a proprietary transaction database with unique investor ids from an emerging market exchange that holds both stock and bond trading. We find some disposition effect in treasuries, but much...