文档介绍：Block Trading and
Information Revelation
around Quarterly Earnings
Announcements
Duane J. Seppi
Carnegie Mellon University
I investigate the empirical importance of infor-
mation revelation in the pricing of block trades.
In particular, I examine whether block prices are
correlated with the unexpected part of firms’ quar-
terly earnings. For my sample of block trades,
information revelation does indeed appear to be
a significant factor shortly before earnings
announcements.
Do block trade price changes reflect the revelation
of investors’ private information?1 And if so, what role
does trade size play? Answering such questions is
complicated by the potential presence of a variety of
“price pressure” effects. These include market-maker
inventory control problems, intraday discounts or pre-
pensating for execution “immediacy,” and
also possibly longer-lived adjustments due to changes
in the price of risk or perhaps trading-induced fads.
This article is based on the third chapter of my dissertation from the Uni-
versity of Chicago. This research benefited greatly from the advice of my
mittee: Douglas Diamond (chairman), Robert Holthausen,
Merton Miller, e Constantinides, h French, and Robert Vishny.
I also thank Elizabeth Cammack, Richard Green, David Mayers, Konduru
Sivaramakrishnan, Fallaw Sowell, Chester Spatt seminar participants at Yale
and Carnegie Mellon, and particularly Michael Gibbons (the editor) and
Michael Barclay (the referee) for many helpful suggestions. Address reprint
requests to Duane Seppi, Graduate School of Industrial Administration, Car-
negie Mellon University, Pittsburgh, PA 15213.
1 The linkage between information and prices via orders, referred to here as
“information revelation,” was initially proposed by Scholes (1972). Formal
models of information revelation through block trading can be found in
Easley and O’Hara (1987). Gammill (1985), and Seppi (1990).
The Review of