Does high-frequency trading reduce market underreaction to earnings news?
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DOI: 10.1016/j.frl.2019.07.012
Abstract: Abstract This paper examines the impact of high-frequency trading (HFT) on market underreaction to earnings news as measured by the magnitude of post-earnings announcement drift (PEAD). Using a dataset provided by NASDAQ, we are able… read more here.
Keywords: high frequency; market underreaction; underreaction earnings; hft ... See more keywords