Earnings Announcements and Market Depth*
研究盈利公告前后内幕交易如何影响市场流动性，发现减少内幕信息的公告反而可能降低公告后的市场深度。
Abstract. This paper investigates how strategic trading around the time of earnings announcements affects market liquidity (e.g., bid‐ask spreads). We model an investor with private information in advance of an earnings announcement (e.g., inside information). The investor trades before and after the earnings announcement in a market populated by liquidity‐motivated traders who have some discretion over the timing of their trades. The main result of the analysis is that an earnings announcement that reduces an insider's private information may lead to a less liquid market in the postannouncement period.