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Costly Index Investing in Foreign Markets
dc.contributor.author | Pedraza, Álvaro | |
dc.contributor.author | Pulga, Fredy † | |
dc.contributor.author | Vasquez, Jose | |
dc.date.accessioned | 08/02/2020 10:55 | |
dc.date.available | 08/02/2020 10:55 | |
dc.date.issued | 2018-05-30 | |
dc.identifier.other | https://www.eafit.edu.co/escuelas/economiayfinanzas/noticias-eventos/Paginas/costly-index-investing-in-foreign-markets.aspx | |
dc.identifier.uri | http://hdl.handle.net/10818/42620 | |
dc.description | 44 páginas | es_CO |
dc.description.abstract | We study trading behavior and performance of foreign investors by management style. Using a comprehensive Colombian data set with complete transaction records and unique investor identification, we find that aggregate underperformance of foreign investors is attributable to foreign-passive funds. These funds pay higher prices to increase the speed of their trades in order to accommodate daily flows proportionally to their benchmark index. Higher transaction costs occur on days when they trade multiple stocks in the same direction and make large trades near market closing. The findings highlight the potential costs of index investing in developing countries or in securities with low trading activity. | en |
dc.format | application/pdf | es_CO |
dc.language.iso | eng | es_CO |
dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 International | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/ | * |
dc.source | Universidad de La Sabana | es_CO |
dc.source | Intellectum Repositorio Universidad de La Sabana | es_CO |
dc.subject.other | Foreing investors | en |
dc.subject.other | Index funds | en |
dc.subject.other | Performance | en |
dc.subject.other | Transactional data | en |
dc.title | Costly Index Investing in Foreign Markets | en |
dc.type | journal article | es_CO |
dc.type.hasVersion | publishedVersion | es_CO |
dc.rights.accessRights | openAccess | es_CO |
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