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Block Trading and Information Revelation around Quarterly Earnings Announcements

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  • Seppi, Duane J

Abstract

The author investigate the empirical importance of information revelation in the pricing of block trades. In particular, he examine whether block prices are correlated with the unexpected part of firms' quarterly earnings. For his sample of block trades, information revelation does indeed appear to be a significant factor shortly before earnings announcements. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.

Suggested Citation

  • Seppi, Duane J, 1992. "Block Trading and Information Revelation around Quarterly Earnings Announcements," The Review of Financial Studies, Society for Financial Studies, vol. 5(2), pages 281-305.
    • Handle: RePEc:oup:rfinst:v:5:y:1992:i:2:p:281-305
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    Cited by:

    1. Sun, Yuxin & Ibikunle, Gbenga, 2017. "Informed trading and the price impact of block trades: A high frequency trading analysis," International Review of Financial Analysis, Elsevier, vol. 54(C), pages 114-129.
    2. Azubuike Samuel Agbam, 2015. "Tests of Random Walk and Efficient Market Hypothesis in Developing Economies: Evidence from Nigerian Capital Market," International Journal of Management Sciences, Research Academy of Social Sciences, vol. 5(1), pages 1-53.
    3. Agarwalla, Sobhesh Kumar & Pandey, Ajay, 2010. "Price Impact of Block Trades and Price Behavior Surrounding Block Trades in Indian Capital Market," IIMA Working Papers WP2010-04-02, Indian Institute of Management Ahmedabad, Research and Publication Department.
    4. Michele O'Neill & Judith Swisher, 2003. "Institutional Investors and Information Asymmetry: An Event Study of Self‐Tender Offers," The Financial Review, Eastern Finance Association, vol. 38(2), pages 197-211, May.
    5. Suleyman Basak & Anna Pavlova, 2005. "Monopoly Power and the Firm’s Valuation: A Dynamic Analysis of Short versus Long-Term Policies," Studies in Economic Theory, in: Alessandro Citanna & John Donaldson & Herakles Polemarchakis & Paolo Siconolfi & Stephan E. Spear (ed.), Essays in Dynamic General Equilibrium Theory, pages 1-34, Springer.
    6. Biais, Bruno & Glosten, Larry & Spatt, Chester, 2005. "Market microstructure: A survey of microfoundations, empirical results, and policy implications," Journal of Financial Markets, Elsevier, vol. 8(2), pages 217-264, May.
    7. Martínez, Miguel Ángel & Yzaguirre, J. & Tapia, Mikel, 1998. "Information transmission around block trades on the Spanish stock market," DEE - Working Papers. Business Economics. WB 6531, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    8. Pascual, Roberto & Escribano, Álvaro & Tapia, Mikel, 2000. "Adverse selection costs, trading activity and liquidity in the NYSE: an empirical analysis in a dynamic context," UC3M Working papers. Economics 7276, Universidad Carlos III de Madrid. Departamento de Economía.
    9. Loderer, Claudio & Roth, Lukas, 2005. "The pricing discount for limited liquidity: evidence from SWX Swiss Exchange and the Nasdaq," Journal of Empirical Finance, Elsevier, vol. 12(2), pages 239-268, March.
    10. Chune Young Chung & Seok‐Kyun Hur & Suk Bong Kim, 2020. "Overnight block trades in the Korean stock market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(3), pages 2231-2261, September.
    11. Gideon Saar, 1999. "Price Impact Asymmetry of Block Trades: An Institutional Trading," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-030, New York University, Leonard N. Stern School of Business-.
    12. Pereira, João Pedro & Zhang, Harold H., 2010. "Stock Returns and the Volatility of Liquidity," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(4), pages 1077-1110, August.
    13. Cho, Jin-Wan, 2007. "Earnings announcements, private information, and strategic informed trading," Journal of Financial Intermediation, Elsevier, vol. 16(1), pages 117-149, January.
    14. Kovner, Anna, 2012. "Do underwriters matter? The impact of the near failure of an equity underwriter," Journal of Financial Intermediation, Elsevier, vol. 21(3), pages 507-529.
    15. Goodhart, Charles A. E. & O'Hara, Maureen, 1997. "High frequency data in financial markets: Issues and applications," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 73-114, June.
    16. Kaushik I. Amin & Charles M. C. Lee, 1997. "Option Trading, Price Discovery, and Earnings News Dissemination," Contemporary Accounting Research, John Wiley & Sons, vol. 14(2), pages 153-192, June.
    17. Anna Calamia, 1999. "Market Microstructure: Theory and Empirics," LEM Papers Series 1999/19, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    18. Chung, Kee H. & Li, Mingsheng & McInish, Thomas H., 2005. "Information-based trading, price impact of trades, and trade autocorrelation," Journal of Banking & Finance, Elsevier, vol. 29(7), pages 1645-1669, July.

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