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

Posted: 25 Aug 2017

See all articles by Christine X. Jiang

Christine X. Jiang

Fudan University

Tanakorn Likitapiwat

Chulalongkorn University

Thomas H. McInish

University of Memphis - Fogelman College of Business and Economics

Date Written: August 23, 2017

Abstract

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.

Suggested Citation

Jiang, Christine X. and Likitapiwat, Tanakorn and McInish, Thomas H., Information Content of Earnings Announcements: Evidence from After-Hours Trading (August 23, 2017). Journal of Financial and Quantitative Analysis (JFQA), Vol. 47, No. 6, 2012, Available at SSRN: https://ssrn.com/abstract=3025075

Christine X. Jiang (Contact Author)

Fudan University ( email )

School of Management
Shanghai, 200433
China
862125011085 (Phone)

Tanakorn Likitapiwat

Chulalongkorn University ( email )

254 Phyathai Rd. Pathumwan
Bangkok, 10900
Thailand

Thomas H. McInish

University of Memphis - Fogelman College of Business and Economics ( email )

Memphis, TN 38152
United States
901-678-4662 (Phone)
901-678-3006 (Fax)

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