Information content of earnings announcements: Evidence from after-hours trading
Abstract
We study after-hours trading (AHT), price contributions, and price discovery following quarterly earnings announcements released outside of the normal trading hours. For Standard & Poor's (S&P) 500 index stocks from 2004-2008, AHT is heightened on announcement days. A significant portion of the price change and price discovery occurs immediately after the earnings releases. Prices in AHT show a large degree of informational efficiency, further demonstrating the importance of price discovery in AHT. We also provide evidence suggesting that firms prefer after-hours earnings announcements, as trades are mainly from informed traders, and those trades are relied upon to convey information to the general public. Copyright © Michael G. Foster School of Business, University of Washington 2012.
Publication Title
Journal of Financial and Quantitative Analysis
Recommended Citation
Jiang, C., Likitapiwat, T., & McInish, T. (2012). Information content of earnings announcements: Evidence from after-hours trading. Journal of Financial and Quantitative Analysis, 47 (6), 1303-1330. https://doi.org/10.1017/S002210901200049X
