Dark Trading Volume at Earnings Announcements

62 Pages Posted: 27 Jul 2017 Last revised: 27 Feb 2019

See all articles by Xanthi Gkougkousi

Xanthi Gkougkousi

U.S. Securities and Exchange Commission Division of Economic and Risk Analysis

Wayne R. Landsman

University of North Carolina Kenan-Flagler Business School

Date Written: July 24, 2017

Abstract

We examine how abnormal dark market share changes at earnings announcements and find a statistically and economically significant increase in abnormal dark market share in the weeks prior to, during, and following the earnings announcement. The increase in dark market share is larger for firms with a relatively high quality of information environment and a relatively low level of informed trading. These findings are consistent with informed (uninformed) traders facing lower execution (adverse selection) risk in dark venues for firms with a high quality information environment and for firms with low levels of informed trading.

Keywords: dark venue; earnings announcement; trading volume; quality of information environment; informed trading.

JEL Classification: G12, G14, D47, M41

Suggested Citation

Gkougkousi, Xanthi and Landsman, Wayne R., Dark Trading Volume at Earnings Announcements (July 24, 2017). Kenan Institute of Private Enterprise Research Paper No. 19-8, Available at SSRN: https://ssrn.com/abstract=3007697 or http://dx.doi.org/10.2139/ssrn.3007697

Xanthi Gkougkousi (Contact Author)

U.S. Securities and Exchange Commission Division of Economic and Risk Analysis ( email )

United States Securities and Exchange Commission
100 F St NE
Washington, DC 20549
United States
2025516650 (Phone)

Wayne R. Landsman

University of North Carolina Kenan-Flagler Business School ( email )

McColl Building
Chapel Hill, NC 27599-3490
United States
919-962-3221 (Phone)
919-962-4727 (Fax)

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