Night Fever: Investor Inattention and the Timing of Corporate Filings

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