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


Introduction Data Methodology Results Conclusions References

Outline

1 Introduction

Data2

Methodology3

Results4

Conclusions5

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1 Introduction

Data2

Methodology3

Results4

Conclusions5

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Outline



Context: Liquidity?

Figure: Bid/Ask Spread

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(a) Asymmetric Info (b) Adverse Selection

(c) Cost

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Context: Agency Theory


Adverse

Selection Liquidity

Provider

Asymmetric Info. Stock Market

Informed

Trader

Uninformed

TraderPrivate

InformationInfo Flow

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Context: Relationship b/t Info. Asymmetry and Stock

Market Liquidity


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)

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Motivation: Precedents


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.

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Hypothesis


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.

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Contribution


1 Introduction

Data2

Methodology3

Results4

Conclusions5

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Outline


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


Data


1 Introduction

Data2

Methodology3

Results4

Conclusions5

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Outline


Order

News effect on Liquidity.

News effect on Stock Return.

1

2

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Methodology


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

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Methodology


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

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Methodology


1 Introduction

Data2

Methodology3

Results4

Conclusions5

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Outline


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

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Descriptive Statistics


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

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Descriptive Statistics


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

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Results from regressions


1 Introduction

Data2

Methodology3

Results4

Conclusions5

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Outline


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.

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Conclusions


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.

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What’s on the table?



Thank you.

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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

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http://dx.doi.org/10.1016/j.jfineco.2008.06.002



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.

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http://dx.doi.org/10.1016/j.jbankfin.2012.11.008



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)

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El impacto de los comunicados de prensa sobre la liquidez de la bolsa colombiana

Economy & Finance

Transcript of El impacto de los comunicados de prensa sobre la liquidez de la bolsa colombiana