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

• 成果类型: Article
• 署名作者: Balakrishnan, Karthik; Gkougkousi, Xanthi; Landsman, Wayne R.; Taori, Peeyush
• 署名单位: Rice University; University of North Carolina; University of North Carolina Chapel Hill; University of Hong Kong
• 刊物名称: ACCOUNTING REVIEW
• ISSN/ISSBN: 0001-4826
• DOI: 10.2308/TAR-2019-0397
• 发表日期: 2022
• 页码: 1-28
• 关键词: information-content; trading volume; private information; stock returns; price; disclosure; liquidity; ORDER; voluntary; frequency

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.