We provide initial evidence that stock exchange procedures around closing auctions advantage speed traders at the expense of auction participants. We show that, on Nasdaq and NYSE Arca, 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. When stock exchanges recommended that firms delay disclosures until after the market close, those with higher institutional ownership were more likely to do so voluntarily. Our study has implications regarding the timing of information releases and the design of the closing process.

中文翻译：

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贝尔新闻和公平竞争环境

我们提供的初步证据表明，围绕收盘拍卖的证券交易所程序以牺牲拍卖参与者的利益为代价加快了交易者的速度。我们表明，在纳斯达克和纽约证券交易所 Arca 上，下午 4:00 的收益发布导致在下午 4:00 和收盘竞价之间的短窗口中的连续常规时段内进行知情交易；该交易随后使收盘价朝着收益消息的方向移动。快速交易者通过连续时段向拍卖提交下午 4:00 新闻订单的能力为他们赚取了高达 1.5% 的利润，并创造了一个不公平的竞争环境，因为大多数拍卖参与者不允许取消他们的订单。当证券交易所建议公司将信息披露推迟到收市后，那些拥有较高机构所有权的公司更有可能自愿这样做。