Dark Pool Trading and Information Acquisition

• 成果类型: Article
• 署名作者: Brogaard, Jonathan; Pan, Jing
• 署名单位: Utah System of Higher Education; University of Utah; Southern Methodist University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhab098
• 发表日期: 2022
• 页码: 2625
• 关键词: INSTITUTIONAL OWNERSHIP; cross-section; SHORT SELLERS; TICK SIZE; MARKET; liquidity; FUTURE; underreaction; announcement; disclosure

摘要

Theory suggests that dark pools may facilitate or discourage information acquisition. We find that more dark pool trading leads to greater information acquisition. We measure information acquisition using stock price dynamics around earnings announcements. To overcome endogeneity concerns, we exploit a large exogenous decrease to dark pool trading that results from the implementation of the Security and Exchange Commission's (SEC's) Tick Size Pilot Program. The results cannot be explained by lit venue liquidity, algorithmic trading, or informational efficiency. A battery of additional tests, such as documenting a shift in SEC EDGAR searches, supports the information acquisition interpretation.