Market fragmentation and post-earnings announcement drift

Cox, Justin

doi:10.1007/s12197-020-09506-8

Cited by 8 publications

(3 citation statements)

References 58 publications

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“…Several studies, including Chordia, Subrahmanyam, and Tong (2014), Milian (2015), and Martineau (2021), argue that PEAD has recently shrunk to the point of disappearance. However, other recent studies, like Ali, Chen, Yao, and Yu (2020) and Cox (2020), find that PEAD persists. We document that while both PEAD and PEAD.txt decrease in the second half of our sample, the shrinkage of PEAD.txt is smaller, and it is far from disappearing.…”

Section: Introductionmentioning

confidence: 72%

PEAD.txt: Post-Earnings-Announcement Drift Using Text

Meursault

Liang²,

Routledge³

et al. 2022

J. Financ. Quant. Anal.

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We construct a new numerical measure of earnings announcement surprises, standardized unexpected earnings call text (SUE.txt), that does not explicitly incorporate the reported earnings value. SUE.txt generates a text-based post-earnings-announcement drift (PEAD.txt) larger than the classic PEAD. The magnitude of PEAD.txt is considerable even in recent years when the classic PEAD is close to 0. We explore our text-based empirical model to show that the calls’ news content is about details behind the earnings number and the fundamentals of the firm.

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Section: Introductionmentioning

confidence: 72%

PEAD.txt: Post-Earnings-Announcement Drift Using Text

Meursault

Liang²,

Routledge³

et al. 2022

J. Financ. Quant. Anal.

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“…Indriawan (2020) shows the difference in the trading volume and market quality for ASX and Chi-X in the Australian market around macroeconomic news announcements. Cox (2020) examines the dynamics of the market fragmentation around earnings announcements and finds that the proportion of the off-exchange volume increases around the earnings announcements. Mishra et al (2021) confirm Cox (2020), and further show that the dynamic of the fragmentation is different around earnings and repurchasing announcements.…”

Section: Information Risk (Adverse Selection)mentioning

confidence: 99%

“…Cox (2020) examines the dynamics of the market fragmentation around earnings announcements and finds that the proportion of the off-exchange volume increases around the earnings announcements. Mishra et al (2021) confirm Cox (2020), and further show that the dynamic of the fragmentation is different around earnings and repurchasing announcements. The off-exchanges trading volume share increases around scheduled earnings announcements, but it does not change around unscheduled repurchasing announcements.…”

Section: Information Risk (Adverse Selection)mentioning

confidence: 99%

Order Routing Decisions for a Fragmented Market: A Review

Mishra

Zhao

2021

JRFM

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This paper reviews the up-to-date theoretical, empirical, and experimental literature related to the trading venue choice in the context of the fragmented equity markets. We provide a brief background on the history of trading fragmentation in the equity market and its determinants. We discuss the direct and indirect impacts of the market fragmentation on market quality in various dimensions, including liquidity, volatility, and price efficiency. Next, we identify possible determinants and channels from theoretical and empirical studies that could explain order routing decisions and present the possible directions for future research. Finally, we discuss the major regulatory reforms in the U.S. equity market on routing venue decisions. This topic is relevant in current times when phenomena such as “GameStop Frenzy” have drawn significant attention to commission-free trading venues.

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Post earnings announcement drift: A simple earnings surprise measure, the medium effect of investor attention and investing strategy

Lan,

Xie,

et al. 2024

International Review of Financial Analysis

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Market fragmentation and post-earnings announcement drift

Cited by 8 publications

References 58 publications

PEAD.txt: Post-Earnings-Announcement Drift Using Text

PEAD.txt: Post-Earnings-Announcement Drift Using Text

Order Routing Decisions for a Fragmented Market: A Review

Post earnings announcement drift: A simple earnings surprise measure, the medium effect of investor attention and investing strategy

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