News at the Bell and a Level Playing Field
成果类型：
Article
署名作者：
Hu, Danqi; Stephan, Andrew
署名单位：
Peking University; University of Colorado System; University of Colorado Boulder
刊物名称：
ACCOUNTING REVIEW
ISSN/ISSBN：
0001-4826
DOI：
10.2308/TAR-2020-0388
发表日期：
2022
页码：
357-384
关键词：
摘要：
We provide initial evidence that stock exchange procedures around closing auctions advantage speed traders at the expense of auction participants. We show that, on Nasdaq and NYSE Arca, 4:00 pm earnings releases result in informed trading in the continuous regular-hour session in the short window between 4:00 pm and the closing auction; this trading subsequently moves closing prices in the direction of the earnings news. The ability of speed traders to submit 4:00-pm-news orders to the auction through the continuous session earns them up to 1.5 percent profit and creates an unlevel playing field because most auction participants are not allowed to cancel their orders. When stock exchanges recommended that firms delay disclosures until after the market closes, those with higher institutional ownership were more likely to voluntarily do so. Our study has implications regarding the timing of information releases and the design of the closing process.