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Events

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“News at the Bell and a Level Playing Field” by Dr. Danqi Hu
8Oct
SOB Seminar Calendar, Accounting and Law

“News at the Bell and a Level Playing Field” by Dr. Danqi Hu

Thursday, 8 October 2020 | 10:30 a.m. — 12:00 noon
online seminar
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Speaker:
Dr. Danqi Hu
Assistant Professor of Accounting Information & Management
Kellogg School of Management
Northwestern University
Abstract:

We provide initial evidence that stock exchange procedures around closing auctions advantage speed traders at the expense of auction participants. We show that 4:00 pm earnings releases result in informed trading in the continuous regular-hour session in the short window between 4:00 pm and the closing auction; this trading subsequently moves closing prices in the direction of the earnings news. The ability of speed traders to submit 4:00 pm-news orders to the auction through the continuous session earns them up to 1.5% profit and creates an unlevel playing field because most auction participants are not allowed to cancel their orders. Furthermore, firms with higher institutional ownership are more likely to voluntarily delay their earnings announcements to after market close once they become aware of this pre-close activity. Our study has implications regarding the timing of information releases, trading halts during auctions, and the design of the closing process.

 

MBA Skype Chat8 Oct 2020
Quantitative History Webinar Series - A Theory of Cultural Revivals [Murat Iyigun, University of Colorado Boulder]Thursday, October 8, 2020
Other Events
214th Congregation (Summer Congregation 2025)
7Jul-8Jul
Faculty Level | Event
214th Congregation (Summer Congregation 2025)
Grand Hall, Centennial Campus, HKU
Semiparametric Identification of the Discount Factor and Payoff Function in Dynamic Discrete Choice Models
Semiparametric Identification of the Discount Factor and Payoff Function in Dynamic Discrete Choice Models
Semiparametric Identification of the Discount Factor and Payoff Function in Dynamic Discrete Choice Models
Semiparametric Identification of the Discount Factor and Payoff Function in Dynamic Discrete Choice Models
Semiparametric Identification of the Discount Factor and Payoff Function in Dynamic Discrete Choice Models
18Jun
Economics | Seminar
Semiparametric Identification of the Discount Factor and Payoff Function in Dynamic Discrete Choice Models
18 June 2025 | 2:15 PM - 3:30 PM
KK 910 K. K. Leung Building, HKU
Prof. Katsumi Shimotsu
“News at the Bell and a Level Playing Field” by Dr. Danqi Hu
Thursday, 8 October 202010:30 a.m. — 12:00 noon
online seminar
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