Reporting delays and the information content of off‐market trades
研究了场外交易报告延迟对知情交易和信息效率的影响，利用洲际交易所2018年取消小型场外交易延迟报告的自然实验，发现延迟虽表面降低效率，但能促进知情交易并提升信息含量。
Abstract This paper examines the impact of reporting delays in off‐market trades on informed trading and information efficiency. We examine this issue using a natural experiment in Financial Times Stock Exchange futures contracts provided by the Intercontinental Exchange, which eliminated the ability of market participants to request a delay in reporting smaller sized off‐market trades in 2018. We find that, while reporting delays increase the time taken to release information to the market by the length of the reporting delay, thereby prima facie reducing information efficiency, such delays encourage informed trading and potentially increase the informativeness of trading and, therefore, information efficiency.