Strategic Trading at the Preopening after Earnings Announcements
研究发现，在盈利公告后的开盘前竞价阶段，知情交易者会策略性地在最后时刻下单，以隐藏信息并从中获利，这解释了价格调整为何不立即完成。
ABSTRACT Prior literature finds the price adjustment after earnings announcements is not immediate. This paper provides evidence that informed investors act strategically to prevent their information from immediately affecting prices after earnings announcements. Specifically, we examine the price discovery at the preopening auction after earnings announcements. We show that traders place more orders at the end of the preopening after earnings announcements, a behavior that reduces the market's ability to learn their information, and we find they profit from these late orders. JEL Classifications: M41; G14. Data Availability: Data are available from the public sources cited in the text.