Dark Trading Volume at Earnings Announcements
62 Pages Posted: 27 Jul 2017 Last revised: 27 Feb 2019
Date Written: July 24, 2017
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: Suggested Citation