Dark Trading and Post-Earnings-Announcement Drift

References

• Adrian T, Shin H (2010) Liquidity and leverage. J. Financial Intermediation 19(3):418–437.Crossref, Google Scholar
• Amihud Y (2002) Illiquidity and stock returns: cross-section and time-series effects. J. Financial Markets 5(1):31–56.Crossref, Google Scholar
• Anand A, Samadi M, Sokobin J, Venkataraman K (2019) Institutional order handling and broker-affiliated trading venues. Working Paper, Southern Methodist University, Dallas, TX.Google Scholar
• Balakrishnan K, Gkougkousi X, Landsman W, Taori P (2020) Dark market share around earnings announcements and speed of resolution of investor disagreement and uncertainty. Working Paper, University of North Carolina, Chapel Hill, NC.Google Scholar
• Ball R, Brown P (1968) An empirical evaluation of accounting income numbers. J. Accounting Res. 6(2):159–178.Crossref, Google Scholar
• Battalio R, Corwin S, Jennings R (2016) Can brokers have it all? On the relation between make-take fees and limit order execution quality. J. Finance 71(5):2193–2238.Crossref, Google Scholar
• Bernard V, Thomas J (1989) Post-earnings-announcement drift: Delayed price response or risk premium? J. Accounting Res. 27:1–36.Google Scholar
• Bernard V, Thomas J (1990) Evidence that stock prices do not fully reflect the implications of current earnings for future earnings. J. Accounting Econom. 13(4):305–340.Crossref, Google Scholar
• Bhattacharya N, Chakrabarty B, Wang X (2020) High-frequency traders and price informativeness during earnings announcements. Rev. Accounting Stud. 25:1156–1199.Google Scholar
• Bhushan R (1994) An informational efficiency perspective on the post-earnings announcement drift. J. Accounting Econom. 18(1):45–65.Crossref, Google Scholar
• Blankespoor E, deHaan E, Marinovic I (2020) Disclosure processing costs, investors’ information choice, and equity market outcomes: A review. J. Accounting Econom. 70(2–3): Article 101344.Crossref, Google Scholar
• Boehmer E, Jones C, Zhang X, Zhang X (2021) Tracking retail investor activity. J. Finance. Forthcoming.Google Scholar
• Boni L, Brown D, Leach J (2013) Dark pool exclusivity matters. Working Paper, University of Colorado, Boulder, CO.Google Scholar
• Brogaard J, Pan J (2019) Dark trading and the fundamental information in stock prices. Working paper, University of Utah, Salt Lake City.Google Scholar
• Bushee B (1998) The influence of institutional investors on myopic R&D investment behavior. Accounting Rev. 73(3):305–333.Crossref, Google Scholar
• Buti S, Rindi B, Werner I (2017) Dark pool trading strategies, market quality and welfare. J. Financial Econom. 124(2):244–265.Crossref, Google Scholar
• Cao S, Narayanamoorthy G (2012) Earnings volatility, post-earnings announcement drift, and trading frictions. J. Accounting Res. 50(1):41–74.Crossref, Google Scholar
• Chakrabarty B, Moulton P, Wang X (2020) Limited attention and market pricing of earnings in a high frequency world. Working Paper, Saint Louis University, Saint Louis.Google Scholar
• Chakravarty S, Sarkar A (2002) A model of broker’s trading, with applications to order flow internalization. Rev. Financial Econom. 11(1):19–36.Crossref, Google Scholar
• Cheong FS, Thomas J (2018) Management of reported and forecast EPS, investor responses, and research implications. Management Sci. 64(9):4277–4301.Link, Google Scholar
• Chordia T, Miao B (2020) Market efficiency in real time: Evidence from low latency activity around earnings announcements. J. Accounting Econom. 70(2–3):Article 101335.Google Scholar
• Chordia T, Subrahmanyam A (1995) Market making, the tick size, and payment-for-order flow: Theory and evidence. J. Bus. 68(4):543–575.Crossref, Google Scholar
• Chordia T, Goyal A, Sadka G, Sadka R, Shivakumar L (2009) Liquidity and the post-earnings-announcement drift. Financial Anal. J. 65(4):18–32.Crossref, Google Scholar
• Chung KH, Lee A, Rösch D (2020) Tick size, liquidity for small and large orders, and price informativeness: Evidence from the Tick Size Pilot Program. J. Financial Econom. 136(3):879–899.Google Scholar
• Comerton-Forde C, Putniņš TJ (2015) Dark trading and price discovery. J. Financial Econom. 118(1):70–92.Crossref, Google Scholar
• Dutta PK, Madhavan A (1997) Competition and collusion in dealer markets. J. Finance 52(1):245–276.Crossref, Google Scholar
• Easley D, Kiefer NM, O’Hara M (1996) Cream-skimming or profit-sharing? The curious role of purchased order flow. J. Finance 51(3):811–833.Crossref, Google Scholar
• Easley D, O'Hara M (2003) Microstructure and asset pricing. Stultz RM, Constantinides G, Harris M, eds. Handbook of the Economics of Finance, vol. 1 (North-Holland, Amsterdam), 1021–1051.Google Scholar
• Fama E (1970) Efficient capital markets: A review of theory and empirical work. J. Finance 25(2):383–417.Crossref, Google Scholar
• Farley R, Kelley E, Puckett A (2018) Dark trading volume and market quality: A natural experiment. Working paper, University of Tennessee, Knoxville, TN.Google Scholar
• Foley S, Putniņš TJ (2016) Should we be afraid of the dark? Dark trading and market quality. J. Financial Econom. 122(3):456–481.Crossref, Google Scholar
• Gow I, Ormazabal G, Taylor D (2010) Correcting for cross‐sectional and time‐series dependence in accounting research. Accounting Rev. 85(2):483–512.Crossref, Google Scholar
• Green J, Hand J, Soliman M (2011) Going, going, gone? The apparent demise of the accruals anomaly. Management Sci. 57(5):797–816.Link, Google Scholar
• Guest N, Kothari S, So E (2019) Flight-to-earnings: The role of earnings in periods of capital scarcity. Working paper, Massachusetts Institute of Technology, Cambridge, MA.Google Scholar
• Han B, Tang Y, Yang L (2016) Public information and uninformed trading: Implications for market liquidity and price efficiency. J. Econom. Theory 163:604–643.Crossref, Google Scholar
• Hasbrouck J, Saar G (2013) Low-latency trading. J. Financial Markets 16(4):646–679.Crossref, Google Scholar
• Hatheway F, Kwan A, Zheng H (2017) An empirical analysis of market segmentation on US equity markets. J. Financial Quant. Anal. 52(6):2399–2427.Crossref, Google Scholar
• Hendershott T, Mendelson H (2000) Crossing networks and dealer markets: Competition and performance. J. Finance 55(5):2071–2115.Crossref, Google Scholar
• Hirshleifer D, Myers J, Myers L, Teoh S (2008) Do individual investors cause post-earnings announcement drift? Direct evidence from personal trades. Accounting Rev. 83(6):1521–1550.Crossref, Google Scholar
• Holden C, Jacobsen S, Subrahmanyam A (2014) The empirical analysis of liquidity. Foundations Trends Finance 8(4):263–365.Google Scholar
• Israeli D, Lee C, Sridharan S (2017) Is there a dark side to exchange traded funds? An information perspective. Rev. Accounting Stud. 22(3):1048–1083.Crossref, Google Scholar
• Jiang C, McInish T, Upson J (2012) Market fragmentation and information quality: The role of TRF trades. Working paper, University of Memphis, Memphis, TN.Google Scholar
• Johnson T, So E (2018a) A simple multimarket measure of information asymmetry. Management Sci. 64(3):1055–1080.Link, Google Scholar
• Johnson T, So E (2018b) Asymmetric trading costs prior to earnings announcements: Implications for price discovery and returns. J. Accounting Res. 56(1):217–263.Crossref, Google Scholar
• Joy O, Litzenberger R, McEnally R (1977) The adjustment of stock prices to announcements of unanticipated changes in quarterly earnings. J. Accounting Res. 15(2):207–225.Crossref, Google Scholar
• Ke B, Ramalingegowda S (2005) Do institutional investors exploit the post-earnings announcement drift? J. Accounting Econom. 39(1):25–53.Crossref, Google Scholar
• Kleibergen F, Paap R (2006) Generalized reduced rank tests using the singular value decomposition. J. Econometrics 133(1):97–126.Crossref, Google Scholar
• Kluger B, Wyatt S (2002) Preferencing, internalization of order flow, and tacit collusion: Evidence from experiments. J. Financial Quant. Anal. 37(3):449–469.Crossref, Google Scholar
• Krinsky I, Lee J (1996) Earnings announcements and the components of the bid-ask spread. J. Finance 51(4):1523–1535.Crossref, Google Scholar
• Kwan A, Masulis R, McInish T (2015) Trading rules, competition for order flow and market fragmentation. J. Financial Econom. 115(2):330–348.Crossref, Google Scholar
• Larcker D, Rusticus T (2010) On the use of instrumental variables in accounting research. J. Accounting Econom. 49(3):186–205.Crossref, Google Scholar
• Lee C, Ready M (1991) Inferring trade direction from intraday data. J. Finance 46(2):733–746.Crossref, Google Scholar
• Lee C, So E (2015) Alphanomics: The informational underpinnings of market efficiency. Foundations Trends Accounting 9(2–3):59–258.Google Scholar
• Livnat J, Mendenhall RR (2006) Comparing the post-earnings announcement drift for surprises calculated from analyst and time series forecasts. J. Accounting Res. 44(1):177–205.Crossref, Google Scholar
• Lo A, MacKinlay A (1988) Stock market prices do not follow random walks: Evidence from a simple specification test. Rev. Financial Stud. 1(1):41–66.Crossref, Google Scholar
• Mendenhall R (2004) Arbitrage risk and post-earnings-announcement drift. J. Bus. 77(4):875–894.Crossref, Google Scholar
• Menkveld A, Yueshen B, Zhu H (2017) Shades of darkness: A pecking order of trading venues. J. Financial Econom. 124(3):503–534.Crossref, Google Scholar
• Milian J (2015) Unsophisticated arbitrageurs and market efficiency: Overreacting to a history of underreaction? J. Accounting Res. 53(1):175–220.Crossref, Google Scholar
• Nagel S (2012) Evaporating liquidity. Rev. Financial Stud. 25(7):2005–2039.Crossref, Google Scholar
• Narayanamoorthy G (2006) Conservatism and cross‐sectional variation in the post-earnings announcement drift. J. Accounting Res. 44(4):763–789.Crossref, Google Scholar
• Ng J, Rusticus T, Verdi R (2008) Implications of transaction costs for the post-earnings announcement drift. J. Accounting Res. 46(3):661–696.Crossref, Google Scholar
• Nimalendran M, Ray S (2014) Informational linkages between dark and lit trading venues. J. Financial Markets 17:230–261.Crossref, Google Scholar
• O’Hara M (2003) Presidential address: Liquidity and price discovery. J. Finance 58(4):1335–1354.Crossref, Google Scholar
• O’Hara M, Ye M (2011) Is market fragmentation harming market quality? J. Financial Econom. 100(3):459–474.Crossref, Google Scholar
• Prilmeier R (2017) Why do loans contain covenants? Evidence from lending relationships. J. Financial Econom. 123(3):558–579.Crossref, Google Scholar
• Rangan S, Sloan R (1998) Implications of the integral approach to quarterly reporting for the post-earnings-announcement drift. Accounting Rev. 73(3):353–371.Google Scholar
• Reed A, Samadi M, Sokobin J (2020) Shorting in broad daylight: Short sales and venue choice. J. Financial Quant. Anal. 55(7):2246–2269.Google Scholar
• Rindi B, Werner I (2019) U.S. Tick Size Pilot. Working paper, Ohio State University, Columbus, OH.Google Scholar
• Roberts M, Whited T (2013) Endogeneity in empirical corporate finance. George MC, Harris M, Stulz RM, eds. Handbook of the Economics of Finance, vol. 2 (North Holland, Amsterdam, Netherlands), 493–572.Google Scholar
• Sarkar A, Schwartz R (2009) Market sidedness: Insights into motives for trade initiation. J. Finance 64(1):375–423.Crossref, Google Scholar
• Securities and Exchange Commission (2010) Concept release on equity market structure. Accessed August 4, 2020, https://www.sec.gov/rules/concept/2010/34-61358.pdf.Google Scholar
• Securities and Exchange Commission (2015) Plan to implement a tick size pilot program. Accessed August 4, 2020, http://www.sec.gov/rules/sro/nms/2015/34-74892-exa.pdf.Google Scholar
• Securities and Exchange Commission (2018) Assessment of the plan to implement a tick size pilot program. Accessed August 4, 2020, https://www.finra.org/sites/default/files/tick-size-pilot-assessment.pdf.Google Scholar
• Sloan R (1996) Do stock prices fully reflect information in accruals and cash flows about future earnings? Accounting Rev. 71(3):289–315.Crossref, Google Scholar
• So E, Wang S (2014) News-driven return reversals: Liquidity provision ahead of earnings announcements. J. Financial Econom. 114(1):20–35.Crossref, Google Scholar
• Stock J, Yogo M (2005) Asymptotic distributions of instrumental variables statistics with many instruments. Andrews D, Stock J, eds. Identification and Inference for Econometric Models: Essays in Honor of Thomas Rothenberg (Cambridge University Press, Cambridge, England), 109–120.Google Scholar
• Wooldridge J (2002) Econometric Analysis of Cross Section and Panel Data (The MIT Press, Cambridge, MA).Google Scholar
• Ye M, Zhu W (2020) Strategic informed trading and dark pools. Working Paper, University of Illinois at Urbana-Champaign, Champaign, IL.Google Scholar
• Zhang X (2006) Information uncertainty and stock returns. J. Finance 61(1):105–137.Crossref, Google Scholar
• Zhu H (2014) Do dark pools harm price discovery? Rev. Financial Stud. 27(3):747–789.Crossref, Google Scholar