The Speed of the Market Reaction to Pre-Open versus Post-Close Earnings Announcements

52 Pages Posted: 6 Nov 2017 Last revised: 29 Apr 2018

Date Written: November 4, 2017


We examine whether the timing of earnings announcements relative to regular trading hours affects how quickly equity investors react to earnings information. We hypothesize that pre-open (before the opening bell, PO) earnings announcements provide less time for investors to process the information before the beginning of trading, leading to a slower market response to the earnings news, than post-close (after the closing bell, PC) announcements. Consistent with this prediction, our findings show greater abnormal volatility and trading volume in the days after PO versus PC announcements. We also document a slower incorporation of earnings news into prices for PO versus PC announcements. These findings cannot be explained by firm and earnings characteristics. Further, we find that option trading strategies based on PO versus PC announcements yield economically large returns, suggesting that options traders do not exploit this predictable pattern of differential volatility.

Keywords: Volatility, Earnings Announcements, Disclosure Timing, Option Returns

JEL Classification: G12, G14, G17

Suggested Citation

Lyle, Matthew R. and Rigsby, Christopher and Stephan, Andrew and Yohn, Teri Lombardi, The Speed of the Market Reaction to Pre-Open versus Post-Close Earnings Announcements (November 4, 2017). Kelley School of Business Research Paper No. 17-75. Available at SSRN: or

Matthew R. Lyle (Contact Author)

Northwestern University - Kellogg School of Management ( email )

2001 Sheridan Road
Evanston, IL 60208
United States

Christopher Rigsby

Northwestern University, Kellogg School of Management ( email )

Evanston, IL
United States

Andrew Stephan

University of Colorado at Boulder Leeds School of Business ( email )

419 UCB
Boulder, CO 80309-0419
United States

Teri Lombardi Yohn

Indiana University - Kelley School of Business - Department of Accounting ( email )

1309 E. 10th Street
Bloomington, IN 47405
United States
(812) 855-0430 (Phone)

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