Overnight earnings announcements and preopening price discovery

被引：0

作者：

Xiao, Xijuan ^{[1
]}

Yamamoto, Ryuichi ^{[2
]}

机构：

[1] Shenzhen Univ, Coll Econ, Shenzhen, Peoples R China

[2] Waseda Univ, Sch Polit Sci & Econ, Tokyo 1698050, Japan

来源：

JAPAN AND THE WORLD ECONOMY | 2024年 / 70卷

关键词：

Earnings announcement; Overnight information; Informed trading; Preopening price discovery; NEWS; INFORMATION; LIQUIDITY; RETURNS; CONVERGENCE; VOLATILITY; EFFICIENCY; FREQUENCY; ATTENTION; MARKETS;

D O I：

10.1016/j.japwor.2024.101249

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This study examines the market responses to announcements of stocks with different trading activities that disclose earnings during and outside normal trading hours. For less actively traded stocks, when bad news is reported after the market closes, potential informed trading exists, along with heightened return reversals and market inefficiency before the release. These informed trading activities are partially responsible for the postannouncement preopening price adjustments. Although the after-release preopening period for inactive stocks does not significantly facilitate price discovery as much as for active stocks, it provides an environment to resolve order imbalances after overnight information.

引用

页数：16

共 60 条

[1] Strategic timing of annual earnings announcements: Evidence from an order-driven market [J].