Information Content of Earnings Announcements: Evidence from After-Hours Trading

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...

Full description

Saved in:
Bibliographic Details
Published inJournal of financial and quantitative analysis Vol. 47; no. 6; pp. 1303 - 1330
Main Authors Jiang, Christine X., Likitapiwat, Tanakorn, McInish, Thomas H.
Format Journal Article
LanguageEnglish
Published New York, USA Cambridge University Press 01.12.2012
Subjects
Announcements
Business structures
Discovery
Earnings
Experimental methods
Financial analysis
Information content
Investment analysis
Investors
Nasdaq Composite Index
Personal finance
Price changes
Price efficiency
Prices
Quantitative analysis
Stock exchanges
Stock prices
Trade
Trade volume
Trading
Online AccessGet full text

Cover

More Information
Summary: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.
Bibliography:ObjectType-Article-2
SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 23
ISSN:0022-1090
1756-6916
DOI:10.1017/S002210901200049X