Affiliation:
1. The Brattle Group Limited, Level 15, 5 Martin Place, Sydney NSW, Australia
Abstract
Prior empirical studies find that dark pools are, on average, associated with uninformed order flow. The “exemption from fair-access requirement” has been conjectured as a necessary condition for dark venues to segment uninformed order flow. This study presents direct evidence contrasting a dark venue that offers equal access to all market participants to other dark pools which have the ability to subjectively exclude order flow. Using the period leading up to surprise corporate earnings news, I document robust evidence of informed trading taking place in the fair access dark venue. I do not find such evidence in other dark venues.
Publisher
World Scientific Pub Co Pte Ltd
Subject
Strategy and Management,Economics and Econometrics,Finance
Cited by
1 articles.
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