德勤-复旦会计论坛系列讲座之一百一十
时间：2016年12月20日（周二）下午13：30
地点：史带楼502室
主持人: 吕长江 教授
演讲嘉宾：Frank Zhang (Yale University)
Title：Hidden liquidity and post earnings announcement drift
Abstract：Electronic exchanges allow investors to submit hidden limit orders. Theory and evidence debate the relative importance of two likely uses of hidden orders: large, liquidity-motivated, uninformed trades versus trades based on private information. We take a novel approach to examine this question by analyzing the impact of hidden orders on a well-documented case of mispricing: predictable price drifts after earnings announcements. Prior evidence suggests that arbitrageurs trade to profit from market underreaction to earnings news but some mispricing remains because of limits to arbitrage. Greater use of hidden orders for informed (uninformed) trades should (should not) deter arbitrage activity when earnings are announced, which in turn increases (does not affect) residual mispricing and subsequent price drifts. Our findings are consistent with informed trades—likely based on short-lived, private information—using hidden orders. When hidden orders are more prevalent, arbitrageurs appear to defer their trades to a few days after the earnings announcement. In addition to informing the discussion of hidden order usage, our results suggest a new concern about hidden orders affecting market quality: they reduce the incentives for arbitrageurs to correct mispricing of fundamental information.
会计学系
2016-12-15
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