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 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.Printed Journal
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JFQA4706 | PSB lt.dasar - Pascasarjana | 1 |
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Cambridge
Cambridge University Press.,
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