Detalhes bibliográficos
| Ano de defesa: |
2024 |
| Autor(a) principal: |
Kimura, Lucas Taro |
| Orientador(a): |
Chague, Fernando Daniel |
| Banca de defesa: |
Não Informado pela instituição |
| Tipo de documento: |
Dissertação
|
| Tipo de acesso: |
Acesso aberto |
| Idioma: |
eng |
| Instituição de defesa: |
Não Informado pela instituição
|
| Programa de Pós-Graduação: |
Não Informado pela instituição
|
| Departamento: |
Não Informado pela instituição
|
| País: |
Não Informado pela instituição
|
| Palavras-chave em Português: |
|
| Palavras-chave em Inglês: |
|
| Link de acesso: |
https://hdl.handle.net/10438/35329
|
Resumo: |
The efficient markets hypothesis suggests that financial asset prices adjust rapidly to new information, which can be attributed to a group of well-informed investors who trade based on news developments. However, the specific characteristics of these investors remain somewhat unclear. This paper proposes a novel metric, institutional trading frequency, as a significant variable for understanding institutions’ capabilities in pricing news. Drawing on a comprehensive database covering all entities operating within the Brazilian stock exchange, we identify a subset of institutions demonstrating an intermediate trading frequency which appears to be significantly well-informed. These institutions display a notable ability to interpret and act upon various types of news announcements. Their active trading behaviour effectively addresses mispricing associated with quarterly earnings surprises, thereby mitigating the post-earnings-announcement drift puzzle, and accurately anticipates market sentiment surrounding material facts releases. Furthermore, their presence in the market correlates with an improvement in price efficiency. |
