{"title":"算法交易与盈利公告后漂移：跨国研究","authors":"Tao Chen","doi":"10.1142/s1094406023500038","DOIUrl":null,"url":null,"abstract":"Synopsis The research problem This study investigates whether algorithmic trading matters to post-earnings-announcement drift (PEAD) across 41 countries. Motivation The increasing importance of algorithms has sparked interest in how computer-triggered trades affect the formation of securities prices. Thus, a large body of research has emerged to probe the instantaneous impact of algorithmic trading on price discovery; however, little work explores the role of algorithms in efficient pricing of low-frequency financial statements. In addition, the literature on PEAD always highlights firm-level drivers of this phenomenon, whereas its country-level institutional determinants remain silent. The test hypotheses H1: Earnings-announcement algorithmic trading does not impact PEAD. H2: Country-level investor protection does not impact the association between earnings-announcement algorithmic trading and PEAD. H3: Country-level information dissemination does not impact the association between earnings-announcement algorithmic trading and PEAD. H4: Country-level disclosure requirements do not impact the association between earnings-announcement algorithmic trading and PEAD. Target population Various stakeholders include market traders, firm managers, regulators, and scholars. Adopted methodology Ordinary Least Square (OLS) Regressions. Analyses We follow Saglam [( 2020 ) Financial Management, 49, 33–67] to measure algorithmic trading using the transaction-level data. Based on a global sample covering 41 markets, we estimate the regression of PEAD on four proxies for algorithmic trading after considering firm-specific controls and fixed effects of country and year. Findings We find a negative and significant association between earnings-announcement algorithmic activity and PEAD. The documented relation retains despite addressing the endogeneity problem. Further analyses indicate that algorithmic participation mitigates investor disagreement, alleviates trader distraction, and reduces market friction, thus facilitating efficient pricing of earnings information. Finally, the impact of algorithmic trading on PEAD is more prominent in countries with stronger investor protection, faster information dissemination, and stricter disclosure requirements.","PeriodicalId":47122,"journal":{"name":"International Journal of Accounting","volume":" ","pages":""},"PeriodicalIF":2.0000,"publicationDate":"2023-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Algorithmic Trading and Post-Earnings-Announcement Drift: A Cross-Country Study\",\"authors\":\"Tao Chen\",\"doi\":\"10.1142/s1094406023500038\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Synopsis The research problem This study investigates whether algorithmic trading matters to post-earnings-announcement drift (PEAD) across 41 countries. Motivation The increasing importance of algorithms has sparked interest in how computer-triggered trades affect the formation of securities prices. Thus, a large body of research has emerged to probe the instantaneous impact of algorithmic trading on price discovery; however, little work explores the role of algorithms in efficient pricing of low-frequency financial statements. In addition, the literature on PEAD always highlights firm-level drivers of this phenomenon, whereas its country-level institutional determinants remain silent. The test hypotheses H1: Earnings-announcement algorithmic trading does not impact PEAD. H2: Country-level investor protection does not impact the association between earnings-announcement algorithmic trading and PEAD. H3: Country-level information dissemination does not impact the association between earnings-announcement algorithmic trading and PEAD. H4: Country-level disclosure requirements do not impact the association between earnings-announcement algorithmic trading and PEAD. Target population Various stakeholders include market traders, firm managers, regulators, and scholars. Adopted methodology Ordinary Least Square (OLS) Regressions. Analyses We follow Saglam [( 2020 ) Financial Management, 49, 33–67] to measure algorithmic trading using the transaction-level data. Based on a global sample covering 41 markets, we estimate the regression of PEAD on four proxies for algorithmic trading after considering firm-specific controls and fixed effects of country and year. Findings We find a negative and significant association between earnings-announcement algorithmic activity and PEAD. The documented relation retains despite addressing the endogeneity problem. Further analyses indicate that algorithmic participation mitigates investor disagreement, alleviates trader distraction, and reduces market friction, thus facilitating efficient pricing of earnings information. Finally, the impact of algorithmic trading on PEAD is more prominent in countries with stronger investor protection, faster information dissemination, and stricter disclosure requirements.\",\"PeriodicalId\":47122,\"journal\":{\"name\":\"International Journal of Accounting\",\"volume\":\" \",\"pages\":\"\"},\"PeriodicalIF\":2.0000,\"publicationDate\":\"2023-01-20\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"International Journal of Accounting\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1142/s1094406023500038\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Journal of Accounting","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1142/s1094406023500038","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Algorithmic Trading and Post-Earnings-Announcement Drift: A Cross-Country Study
Synopsis The research problem This study investigates whether algorithmic trading matters to post-earnings-announcement drift (PEAD) across 41 countries. Motivation The increasing importance of algorithms has sparked interest in how computer-triggered trades affect the formation of securities prices. Thus, a large body of research has emerged to probe the instantaneous impact of algorithmic trading on price discovery; however, little work explores the role of algorithms in efficient pricing of low-frequency financial statements. In addition, the literature on PEAD always highlights firm-level drivers of this phenomenon, whereas its country-level institutional determinants remain silent. The test hypotheses H1: Earnings-announcement algorithmic trading does not impact PEAD. H2: Country-level investor protection does not impact the association between earnings-announcement algorithmic trading and PEAD. H3: Country-level information dissemination does not impact the association between earnings-announcement algorithmic trading and PEAD. H4: Country-level disclosure requirements do not impact the association between earnings-announcement algorithmic trading and PEAD. Target population Various stakeholders include market traders, firm managers, regulators, and scholars. Adopted methodology Ordinary Least Square (OLS) Regressions. Analyses We follow Saglam [( 2020 ) Financial Management, 49, 33–67] to measure algorithmic trading using the transaction-level data. Based on a global sample covering 41 markets, we estimate the regression of PEAD on four proxies for algorithmic trading after considering firm-specific controls and fixed effects of country and year. Findings We find a negative and significant association between earnings-announcement algorithmic activity and PEAD. The documented relation retains despite addressing the endogeneity problem. Further analyses indicate that algorithmic participation mitigates investor disagreement, alleviates trader distraction, and reduces market friction, thus facilitating efficient pricing of earnings information. Finally, the impact of algorithmic trading on PEAD is more prominent in countries with stronger investor protection, faster information dissemination, and stricter disclosure requirements.
期刊介绍：
The aim of The International Journal of Accounting is to advance the academic and professional understanding of accounting theory, policies and practice from the international perspective and viewpoint. The Journal editorial recognizes that international accounting is influenced by a variety of forces, e.g., governmental, political and economic. Thus, the primary criterion for manuscript evaluation is the incremental contribution to international accounting literature and the forces that impact the field. The Journal aims at understanding the present and potential ability of accounting to aid in analyzing and interpreting international economic transactions and the economic consequences of such reporting. These transactions may be within a profit or non-profit environment. The Journal encourages a broad view of the origins and development of accounting with an emphasis on its functions in an increasingly interdependent global economy. The Journal also welcomes manuscripts that help explain current international accounting practices, with related theoretical justifications, and identify criticisms of current policies and practice. Other than occasional commissioned papers or special issues, all the manuscripts published in the Journal are selected by the editors after the normal double-blind refereeing process.
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