Night Fever: Investor Inattention and the Timing of Corporate Filings

52 Pages Posted: 17 Nov 2016 Last revised: 14 Jan 2017

Vicente Cuñat

London School of Economics & Political Science (LSE) - Financial Markets Group

Moqi Groen-Xu

London School of Economics & Political Science (LSE)

Date Written: January 13, 2017

Abstract

This paper studies the strategic release of relevant corporate news in the hours after market closure. We document new stylized facts about investor attention and trading opportunities, resulting in three distinct after-Trading-Hours regimes. This structure, combined with ample firm discretion about intra-day timing, makes evening disclosures an ideal environment to study the strategic release of information. Firms strategically select when to release news across sub-periods:

(1) big news is released right after market closure allowing for trading opportunities without price feedback,

(2) complex news later in the evening when investor attention is maximized, and

(3) bad news is more frequent in the overnight period, where an informational blackout generates minimal investor attention.

Keywords: investor inattention, strategic timing of disclosure, news

JEL Classification: D83, G14

Suggested Citation

Cuñat, Vicente and Groen-Xu, Moqi, Night Fever: Investor Inattention and the Timing of Corporate Filings (January 13, 2017). Available at SSRN: https://ssrn.com/abstract=2870381 or http://dx.doi.org/10.2139/ssrn.2870381

Vicente Cuñat

London School of Economics & Political Science (LSE) - Financial Markets Group ( email )

Houghton Street
London WC2A 2AE
United Kingdom

HOME PAGE: http://www.vicentecunat.com

Moqi Groen-Xu (Contact Author)

London School of Economics & Political Science (LSE) ( email )

Houghton Street
London, WC2A 2AE
United Kingdom

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