Using the special event of short selling ban removal in the Chinese stock market in March 2010, I study the relationship between short selling activities and future stock returns and the effect of short sale constraints on stock price reactions to earnings announcements. I find strong evidence...

Prior research documents that volatility spreads predict stock returns. If the trading activity of informed investors is an important driver of volatility spreads, then the predictability of stock returns should be more pronounced during major information events. This paper investigates whether...

We show that 71% of the earnings announcement premium takes place before, rather than after, earning releases. We attribute this pattern to uncertainty resolution before earnings announcement, and provide compelling evidence that high uncertainty stocks experience more uncertainty resolution and...

Previous research documents two puzzling findings that cast doubt on the usefulness of accounting information to investors: the declining power of street EPS in explaining earnings announcement returns and the increasing price reactions to earnings announcements. I show this evidence is due to...

The relation between average equity return and market exposure behaves distinctively on days on which early earnings announcements are made by firms for which the announcements have a large spillover “influence” on discount rates and expectations of earnings for related firms. On such days...

Previous research documents two puzzling results that cast doubt on the usefulness of accounting information to investors: the declining power of street EPS in explaining earnings announcement returns and increasing price reactions to earnings announcements. I show this evidence is due to...

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...

Both theory and evidence are mixed regarding the impact on prices of trading on “dark” venues partially exempt from National Market System requirements. Theory predicts that price discovery improves as dark venues siphon noisy uninformed trades, but increased adverse selection reduces...

We propose a tone-based event study to reveal the aggregate abnormal tone dynamics in media articles around earnings announcements. We test whether they convey incremental information that is useful for price discovery for non financial S&P 500 firms. The positive relationship found between the...

Prompted by concerns that high frequency traders (HFTs) reap unfair advantages over other traders by using faster trading technologies, regulators are contemplating measures to slow down equity markets. Currently, HFTs account for a significant fraction of the total market volume. Although...