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Market-Based Solutions to Vital Economic Issues


Kenan Institute 2024 Grand Challenge: Business Resilience
Market-Based Solutions to Vital Economic Issues
Jul 24, 2017

Dark Trading Volume at Earnings Announcements


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.

Note: Research papers posted on SSRN, including any findings, may differ from the final version chosen for publication in academic journals.

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