Dark Market Share around Earnings Announcements and Speed of Resolution of Investor Disagreement
研究了盈利公告前后暗池市场份额的变化，发现其显著增加，且高质量会计信息的企业增幅更大；暗池份额增加与投资者分歧更快解决正相关，表明暗池交易有助于提升市场质量。
ABSTRACT This study examines how the market share of dark venues changes at earnings announcements. Our analysis shows a statistically significant increase in dark market share in the weeks prior to, during, and following the earnings announcement. We also predict and find evidence that increases in dark market share around earnings announcements are higher for firms with high-quality accounting information. In addition, we find a positive relation between the change in dark market share and the speed of resolution of investor disagreement—a key dimension of informational efficiency, which suggests that dark trading is associated with an improvement in market quality. How market fragmentation changes around news events, the role accounting information plays in market fragmentation, and how changes in market fragmentation relate to market quality can help provide insights to securities regulators. JEL Classifications: G12; G14; D47; M41.