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Bond Portfolio Reallocation in the Environment of a High Probability of a Sovereign Default: the Argentina Case

Student: Khairutdinov Amir

Supervisor: Vladimir Sokolov

Faculty: International College of Economics and Finance

Educational Programme: Financial Economics (Master)

Year of Graduation: 2020

In this paper we focus on the information content of trading activity in the Argentine sovereign bond market prior, within and post the primary presidential elections in August 11, 2019. Our goal is to investigate whether some groups of institutional investors on average possess private information about the elections` outcome and adjust their positions based on asymmetric information. Our main result suggests that namely locally managed institutions start to abnormally decrease their holdings, compared to the average world investor, one quarter prior to the elections. Besides, we discover some evidence that investors from the US, UK, Canada and Ireland also have superior information but to a lesser extent.

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