Abstract
This article examines how investors exploit differences in the speed of execution, market depth, and level of anonymity offered by various trading venues and order types to devise trading strategies around an earnings announcement. The author finds that large orders for 1,000 shares or more are submitted to an electronic communication network (ECN) as a regular order. Small orders for fewer than 1,000 shares are submitted as intermarket sweep orders (ISOs) to the Nasdaq. Collectively, the evidence underscores the importance of the trade-off between anonymity and liquidity that underlies investors’ choice of venue and order type.
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