El impacto de los comunicados de prensa sobre la liquidez de la bolsa colombiana
-
Upload
facultad-de-ciencias-economicas-udea -
Category
Economy & Finance
-
view
10 -
download
0
Transcript of El impacto de los comunicados de prensa sobre la liquidez de la bolsa colombiana
Grupo de Investigación en Finanzas GIFI - Departamento de Ciencias Administrativas
The Impact of News Releases on the Colombian
Stock Market Liquidity
Ignacio Arango Gómez
Diego A. Agudelo
EAFIT University
March 6, 2017
Grupo de Investigación en Finanzas GIFI - Departamento de Ciencias Administrativas
Introduction Data Methodology Results Conclusions References
Outline
1 Introduction
Data2
Methodology3
Results4
Conclusions5
3 / 27
Grupo de Investigación en Finanzas GIFI - Departamento de Ciencias Administrativas
1 Introduction
Data2
Methodology3
Results4
Conclusions5
4 / 27
Introduction Data Methodology Results Conclusions References
Outline
Grupo de Investigación en Finanzas GIFI - Departamento de Ciencias Administrativas
Introduction Data Methodology Results Conclusions References
Context: Liquidity?
Figure: Bid/Ask Spread
5 / 27
Grupo de Investigación en Finanzas GIFI - Departamento de Ciencias Administrativas
(a) Asymmetric Info (b) Adverse Selection
(c) Cost
6 / 27
Introduction Data Methodology Results Conclusions References
Context: Agency Theory
Grupo de Investigación en Finanzas GIFI - Departamento de Ciencias Administrativas
Adverse
Selection Liquidity
Provider
Asymmetric Info. Stock Market
Informed
Trader
Uninformed
TraderPrivate
InformationInfo Flow
7 / 27
Introduction Data Methodology Results Conclusions References
Context: Relationship b/t Info. Asymmetry and Stock
Market Liquidity
Grupo de Investigación en Finanzas GIFI - Departamento de Ciencias Administrativas
Theoretical models1 Private information increase adverse
selection cost for liquidity providers.
Diamond and Verrecchia (1991): Information revealing reduces
Info asymmetry by attracting large demand of investors and
reducing the firm cost of capital.
Empirical evidence2 suggests that s news releasesfirm’ reduceinformation asymmetry in stock markets and consequently
enhance liquidity.
1Kyle (1985), Glosten and Milgrom (1985) and Easley and O’Hara (1992)2Brown and Hillegeist (2007), Tetlock (2010), Sankaraguruswamy, Shen, and
Yamada (2013)
8 / 27
Introduction Data Methodology Results Conclusions References
Motivation: Precedents
Grupo de Investigación en Finanzas GIFI - Departamento de Ciencias Administrativas
Riordan, Storkenmaier, Wagener, and Sarah Zhang (2013)
studied the price and liquidity impact caused by the Thomson
Reuters newswire messages:
Base Hypothesis: Positive and neutral sentiment incorporated into
the related news tend to increase liquidity, but negative news diminish
liquidity because adverse selection costs.
9 / 27
Introduction Data Methodology Results Conclusions References
Hypothesis
Grupo de Investigación en Finanzas GIFI - Departamento de Ciencias Administrativas
Relationship between liquidity of the Colombian Market and
information disclosure through instantaneous news releases.
Providing evidence of the impact of news on liquidity, discerning
by sentiments of the information.
Effect of news releases on stock returns to ensure the rationality
of the results.
10 / 27
Introduction Data Methodology Results Conclusions References
Contribution
Grupo de Investigación en Finanzas GIFI - Departamento de Ciencias Administrativas
1 Introduction
Data2
Methodology3
Results4
Conclusions5
11 / 27
Introduction Data Methodology Results Conclusions References
Outline
Grupo de Investigación en Finanzas GIFI - Departamento de Ciencias Administrativas
News releases hand-collected from the Colombian Financial
regulatory entity “Superintendencia Financiera”
Categories: Operational news, Credit Rating, Investments, Bond
Issues, Stock Issues, Financial Disclosure and Others.
Tick-by-tick data: Quotes, transaction prices and traded
volume.(downloaded from Bloomberg)
Period Interval: August/2010 - August/2012
Stocks Sample: 15 Sotcks that represents at about 70% of the
Colombian Market Cap.12 / 27
Introduction Data Methodology Results Conclusions References
Data
Grupo de Investigación en Finanzas GIFI - Departamento de Ciencias Administrativas
1 Introduction
Data2
Methodology3
Results4
Conclusions5
13 / 27
Introduction Data Methodology Results Conclusions References
Outline
Grupo de Investigación en Finanzas GIFI - Departamento de Ciencias Administrativas
Order
News effect on Liquidity.
News effect on Stock Return.
1
2
14 / 27
Introduction Data Methodology Results Conclusions References
Methodology
Grupo de Investigación en Finanzas GIFI - Departamento de Ciencias Administrativas
News effect on Liquidity
s s
ESit = β0 + CtrlVblesit +X
δkPos_newit +X
γkNeg_newit +
k=1 k=1(1)sX
ψkNeu_newit + εit
k=1Where,CtrlVblesit = β1rit + β2ln(NTit) + β3vit + β4sizeit
15 / 27
Introduction Data Methodology Results Conclusions References
Methodology
Grupo de Investigación en Finanzas GIFI - Departamento de Ciencias Administrativas
News effect on Stock Return
s s
Returnit = β0 + CtrlVblesit +X
δkPos_newit +X
γkNeg_newit +
k=1 k=1
sXψkNeu_newit + εit
k=1
(2)
Where,CtrlVblesit = β1Rmit + β2rit−1 + β3ln(NTit) + β4vit + β5sizeit
16 / 27
Introduction Data Methodology Results Conclusions References
Methodology
Grupo de Investigación en Finanzas GIFI - Departamento de Ciencias Administrativas
1 Introduction
Data2
Methodology3
Results4
Conclusions5
17 / 27
Introduction Data Methodology Results Conclusions References
Outline
Grupo de Investigación en Finanzas GIFI - Departamento de Ciencias Administrativas
Wighted ES
Mean
Effective Spread r i Market capiCompany Betai Sector
Mean St. Dsv Skew mean st. Dsv
Ecopetrol GrupoAval Grupo Sura Bancolombia Pacific Rub. Pf.Bancolombia Cementos Argos ISA
Éxito Nutresa Isagen Celsia ETB Fabricato Tablemac Canacol
1.03
0.64
0.90
0.89
1.54
0.94
0.97
0.72
0.57
0.60
0.71
0.91
0.46
0.35
0.70
1.38
0.26%
0.69%
0.55%
0.61%
0.20%
0.25%
0.62%
0.59%
0.64%
0.46%
0.41%
0.92%
0.99%
0.89%
0.94%
1.10%
0.23%
0.69%
0.53%
0.61%
0.20%
0.25%
0.61%
0.58%
0.61%
0.47%
0.41%
0.91%
0.95%
0.90%
0.94%
1.09%
0.14%
0.41%
0.41%
0.46%
0.13%
0.16%
0.40%
0.35%
0.53%
0.45%
0.21%
0.62%
0.61%
0.41%
0.48%
8.73%
4.33
2.73
2.70
2.91
9.25
2.27
2.57
1.85
2.19
5.42
2.42
2.24
2.17
1.66
1.80
20.28
0.09%
0.01%
-0.02%
0.00%
0.00%
-0.34%
0.00%
-0.03%
-0.02%
-0.04%
-0.02%
1.09%
0.01%
0.24%
-0.04%
-0.30%
1.51%
1.68%
1.52%
1.58%
2.40%
3.24%
1.57%
1.44%
1.52%
1.21%
1.52%
1.76%
1.72%
2.08%
1.21%
3.13%
169,811,949
19,383,895
14,699,628
14,271,728
12,833,451
12,722,725
12,207,726
11,962,921
10,742,504
10,030,691
5,656,599
2,967,290
1,682,962
708,542
325,098
194,656
Utilities Financials Insurences Financials Utilities Financials Industrials Utilities Retail Goods Utilities Utilities TelCo Industrials Industrials Utilities
18 / 27
Introduction Data Methodology Results Conclusions References
Descriptive Statistics
Grupo de Investigación en Finanzas GIFI - Departamento de Ciencias Administrativas
Operational Credit Score Investments Bond Issues Stock Issues Others FDCompany Total
(+) (-) (n) (+) (-) (n) (+) (-) (n) (+) (-) (n) (+) (-) (n) (+) (-)
Panel A: Number of news by category
ECOPETL
AVAL
GRUPOSUR
BCOLO PREC
PFBCOLO
CEMARGOS
ISA
EXITO
NUTRESA
ISAGEN
CELSIA
ETB
FABRI
TABLEMA
CNEC
Total
9
2
0
0
8
0
0
3
2
1
3
0
5
2
0
8
0
0
1
0
2
0
1
0
0
0
2
0
4
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
4
1
3
4
2
2
3
4
1
0
2
0
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
7
1
12
3
4
3
1
4
2
2
1
4
0
0
0
2
2
0
2
4
1
1
1
3
2
0
0
2
0
1
0
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
1
1
6
1
4
4
2
0
0
1
0
0
0
0
0
0
0
0
0
0
0
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
3
4
4
2
0
2
0
0
1
1
0
0
1
2
1
0
1
0
0
0
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
3
1
1
1
0
1
0
0
0
1
4
0
2
0
0
0
2
0
0
4
1
4
3
0
0
1
3
2
2
0
3
0
7
9
5
4
8
4
6
9
6
7
5
3
5
6
4
3
39
19
29
28
28
21
20
25
14
13
21
11
20
11
8
14
43 10 0 27 0 0 46 20 0 21 1 0 21 2 0 14 25 91 321
Panel B: Measures Averages
EF 0.33% 0.86% 0.35%
0.61%
122
0.27% 0.68%
0.44% (1.1)%
115 98
0.44% 0.40%
(0.3)% (0.2)%
98 24
0.47% 0.20%
(1.3)% 2.46%
107 702
0.30% 0.59% 0.37%
0.21% (0.4)% 0.41%
141 79 165
r
NT
1.21% (1.3)%
229 70
19 / 27
Introduction Data Methodology Results Conclusions References
Descriptive Statistics
Grupo de Investigación en Finanzas GIFI - Departamento de Ciencias Administrativas
Dependent Variable: ln(effective spreadit ) ln(weighted effective spreadit ) Returnit
rit−1
rm
rit
vit
ln(NTit )
Operationalit (+)
Operationalit (-)
Ratingit (+)
Investmentit (+)
Investmentit (-)
Bondissueit (+)
Stockissueit (+)
Stockissueit (-)
Otherit (+)
Otherit (-)
Disclosureit
r2
0.0247**
0.9061***
0.0233**
0.9054***
-0.7685**
20.5012***
-0.2522***
-0.5953**
20.5974***
-0.2503***
-0.2954***
0.2904*
-0.2230**
-0.4173***
0.1839*
-0.0288
-0.1089
-0.00449
-0.3162**
0.0570
-0.3942***
0.4655
-0.8315**
20.8872***
-0.2256***
-0.6415*
20.9801*** 0.0250*
-0.2236*** 0.000
-0.3638***
0.3043*
-0.1745
-0.4070***
0.2356*
-0.0173
-0.0746
-0.067037
-0.3939**
0.0370
-0.3708***
0.0246*
0.000
0.0113***
-0.0092*
0.0036652
0.0048**
-0.0091**
0.0042757
-0.0125***
0.0160362
0.0026987
-0.0066**
0.0024222
0.25390.4582 0.3705 0.3769 0.2481
20 / 27
Introduction Data Methodology Results Conclusions References
Results from regressions
Grupo de Investigación en Finanzas GIFI - Departamento de Ciencias Administrativas
1 Introduction
Data2
Methodology3
Results4
Conclusions5
21 / 27
Introduction Data Methodology Results Conclusions References
Outline
Grupo de Investigación en Finanzas GIFI - Departamento de Ciencias Administrativas
We support the evidence in the literature that positive news
increase liquidity and negative news diminishes liquidity.
The news releases hit the prices corresponding to the information
direction, but Financial disclosure despite its effect in liquidity
lacks of direction.
Our results suggest that news releases may affect information
asymmetry in different scales depending on the info tone.
22 / 27
Introduction Data Methodology Results Conclusions References
Conclusions
Grupo de Investigación en Finanzas GIFI - Departamento de Ciencias Administrativas
Transmission mechanism between News releases and Liquidity.
News Sentiment has differential effect on Information
asymmetry.
The study of systemic and idiosyncratic information on
Asymmetric Info.
23 / 27
Introduction Data Methodology Results Conclusions References
What’s on the table?
Grupo de Investigación en Finanzas GIFI - Departamento de Ciencias Administrativas
Introduction Data Methodology Results Conclusions References
Thank you.
24 / 27
Grupo de Investigación en Finanzas GIFI - Departamento de Ciencias Administrativas
Introduction Data Methodology Results Conclusions References
References I
Brown, S., & Hillegeist, Æ. S. A. (2007). How disclosure quality affects the level of
information asymmetry. Review of Accounting Studies, 12, 443–477. doi:
10.1007/s11142-007-9032-5
Diamond, D. W., & Verrecchia, R. E. (1991). Disclosure , Liquidity , and the Cost of Capital.
The Journal of Finance, XLVI(4), 1325–1360.Easley, D., & O’Hara, M. (1992). Time and the Process of Security Price Adjustment. The
Journal of Finance, XLVII(2), 577–606.
Glosten, L. R., & Milgrom, P. R. (1985). Bid, ask and transaction prices in a specialist market
with heterogeneously informed traders. Journal of Financial Economics,14(1),71–100. doi: 10.1016/0304-405X(85)90044-3
Goyenko, R. Y., Holden, C. W., & Trzcinka, C. A. (2009). Do liquidity measures measure
liquidity? Journal of Financial Economics,92(2), 153–181. Retrieved from
http://dx.doi.org/10.1016/j.jfineco.2008.06.002 doi:
10.1016/j.jfineco.2008.06.002
Kyle, A. S. (1985). Continuous auctions and insider trading: Uniqueness and risk aversion.Econometrica, 53(6), 1315–1336. doi: 10.1007/s007800200078
25 / 27
Grupo de Investigación en Finanzas GIFI - Departamento de Ciencias Administrativas
Introduction Data Methodology Results Conclusions References
References II
Riordan, R., Storkenmaier, A., Wagener, M., & Sarah Zhang, S. (2013). Public information
arrival: Price discovery and liquidity in electronic limit order markets. Journal of
Banking and Finance, 37(4), 1148–1159. Retrieved from
http://dx.doi.org/10.1016/j.jbankfin.2012.11.008 doi:
10.1016/j.jbankfin.2012.11.008
Sankaraguruswamy, S., Shen, J., & Yamada, T. (2013). The relationship between the frequency
of news release and the information asymmetry : The role of uninformed trading. The
Journal of Banking and Finance, 37, 4134–4143.
Tetlock, P. C. (2010). Does Public Financial News Resolve Asymmetric Information? Review
of Financial Studies, 23(April), 3520–3557.
26 / 27
Grupo de Investigación en Finanzas GIFI - Departamento de Ciencias Administrativas
Introduction Data Methodology Results Conclusions References
Appendix
Effective Spread Measure:
Trzcinka (2009) formula:
Following Goyenko, Holden, and
ESτ = 2|(ln(Pτ ) − ln(Mτ ))|
The daily effective spread is obtained by aggregating the
indra-day effective spreads computed over whole day in a
peso-weighted average.
(3)
27 / 27