Dark Market Share around Earnings Announcements and Speed of Resolution of Investor Disagreement

被引：1
|
作者：
Balakrishnan, Karthik [1 ]
Gkougkousi, Xanthi [2 ]
Landsman, Wayne R. [3 ]
Taori, Peeyush [4 ]
机构：
[1] Rice Univ, Jones Grad Sch Business, Dept Accounting, Houston, TX 77005 USA
[2] Compass Lexecon, Washington, DC USA
[3] Univ N Carolina, Kenan Flagler Business Sch, Dept Accounting, Chapel Hill, NC USA
[4] Univ Hong Kong, Fac Business & Econ, Dept Accounting & Law, Hong Kong, Peoples R China
来源：
ACCOUNTING REVIEW | 2022年 / 97卷 / 05期
关键词：
dark venue; earnings announcement; trading volume; quality of accounting information; resolution of investor disagreement; INFORMATION-CONTENT; TRADING VOLUME; PRIVATE INFORMATION; STOCK RETURNS; PRICE; DISCLOSURE; LIQUIDITY; ORDER; VOLUNTARY; FREQUENCY;
D O I：
10.2308/TAR-2019-0397
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This study examines how the market share of dark venues changes at earnings announcements. Our analysis shows a statistically significant increase in dark market share in the weeks prior to, during, and following the earnings announcement. We also predict and find evidence that increases in dark market share around earnings announcements are higher for firms with high-quality accounting information. In addition, we find a positive relation between the change in dark market share and the speed of resolution of investor disagreement-a key dimension of informational efficiency, which suggests that dark trading is associated with an improvement in market quality. How market fragmentation changes around news events, the role accounting information plays in market fragmentation, and how changes in market fragmentation relate to market quality can help provide insights to securities regulators.
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页码：1 / 28
页数：28
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