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Universidad EAFIT
Carrera 49 # 7 sur -50 Medellín Antioquia Colombia
Carrera 12 # 96-23, oficina 304 Bogotá Cundinamarca Colombia
(57)(4) 2619500

Eventos / 30/05/2018

Costly Index Investing in Foreign Markets



Álvaro Pedraza, Ph.D
The World Bank 

Fecha: miércoles 30 de mayo de 2018
Hora: 5:00 p.m. - 6:00 p.m.
Lugar: Bloque 29, aula 203, Universidad EAFIT


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.

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Acerca del expositor

Alvaro Pedraza is an Economist in the Finance and Private Sector Development Team of the World Bank's Development Research Group. His research interests include financial economics, asset pricing and macroeconomics. Prior to joining the Bank he worked at the Federal Reserve Bank of Atlanta, the Inter-American Development Bank, the Colombian Association of Pension Fund Administrators and the National Collateral Fund of Colombia. He holds a B.A. in Physics and a M.A. in Economics from Universidad de los Andes in Colombia, and a Ph.D. in Economics from the University of Maryland.

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Mayores informes:

Maestría en Ciencias en Finanzas

Última modificación: 17/05/2018 12:26

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