Earnings Announcements and Information Asymmetry: An Intra-Day Analysis
研究盈利公告如何影响专家眼中的信息不对称，通过买卖价差和深度变化来度量，发现公告前价差扩大、深度减小，且季度公告影响大于年度，盘后公告的价差变化持续更久。
This paper examines the effect of earnings announcements on information asymmetry as perceived by specialists. We use changes in quoted bid-ask spreads and depths (relative to the average value in the non-announcement period) as proxies for changes in information asymmetry in the market. To our knowledge, we are the first to employ a model that captures the simultaneous nature of the specialists' choice of spreads and depths in reaction to earnings news. We provide evidence that spreads are wider and depths are smaller before the release of earnings announcements. We also find that changes to depths are greater for announcements of quarterly earnings than for announcements of annual earnings and changes to spreads persist longer into the post-announcement period when announcements are made outside trading hours. These changes to spreads and depths persist when earnings announcements are made after trading hours.