Hidden Liquidity: Order Exposure Strategies Around Earnings Announcements
研究盈余公告前后隐藏订单活动的变化，发现隐藏订单在公告期间增加，提供了重要流动性，且其变化与公司信息环境、公告信息及报价流动性相关。
Abstract: Electronic limit order books are prevalent in financial markets. Most allow ‘hidden orders,’ in which the order's information is neither revealed to the market nor reflected in the National Best Bid and Offer quotes. While they enable traders to conceal information, hidden orders lose time priority to displayed orders, and thus face increased risk of non‐execution. We examine hidden order activity around earnings announcements, a time when demand for the opacity of hidden orders is likely high, due to heightened private information acquisition, but demand for immediate trade execution is also likely high due to increased trading activity. We find that hidden order trade volume, the number of hidden orders executed, hidden order trade size, and the full size of hidden orders executed all increase around earnings announcements. This suggests hidden orders provide significant liquidity at a time when quoted liquidity typically falls. We also show that changes in hidden order activity at earnings announcements are related to cross‐sectional variation in the firm's pre‐announcement information environment, the information conveyed by the earnings announcement, and changes in quoted liquidity.