Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7374314 | Pacific-Basin Finance Journal | 2017 | 51 Pages |
Abstract
This study examines the impact of corporate earnings announcements on trading activity and speed of price adjustment, analyzing algorithmic and non-algorithmic trades during the immediate period pre- and post-corporate earnings announcements. We confirm that algorithms react faster and more correctly to announcements than non-algorithmic traders. During the initial surge in trading activity in the first 90Â s after the announcement, algorithms time their trades better than non-algorithmic traders, hence algorithms tend to be profitable, while non-algorithmic traders make losing trades over the same time period. During the pre-announcement period, non-algorithmic volume imbalance leads algorithmic volume imbalance, however, in the post announcement period, the direction of the lead-lag association is exactly reversed. Our results suggest that as algorithms are the fastest traders, their trading accelerates the information incorporation process.
Related Topics
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Economics and Econometrics
Authors
Alex Frino, Tina Prodromou, George H.K. Wang, P. Joakim Westerholm, Hui Zheng,