News and Trading After Hours

69 Pages Posted: 11 Mar 2021 Last revised: 22 Nov 2023

See all articles by Bei Cui

Bei Cui

Monash Centre for Financial Studies, Monash Business School, Monash University

Arie Eskenazi Gozluklu

University of Warwick - Finance Group

Date Written: November 17, 2023

Abstract

We explore after-hours trading (AHT) in U.S. equity markets. We collect a large set of news releases during AHT and document their effect on AHT activity and market quality. There are three major triggers of AHT. After-hours corporate news catches the attention of retail participants. Zero-commission platforms facilitate a reaction to positive after-hours corporate news that leads to an increase in after-hours trades and return volatility. Insider sales are more likely to be announced after markets close allowing faster correction of company overvaluations. Index rebalancing and reconstitutions during AHT lead to large liquidity-driven trades contributing to the negative CAPM slope.

Keywords: After-hours trading, news events, liquidity, insider trades, Robinhood, index reconstitutions

JEL Classification: G10, G12, G14

Suggested Citation

Cui, Bei and Gozluklu, Arie Eskenazi, News and Trading After Hours (November 17, 2023). Available at SSRN: https://ssrn.com/abstract=3796812 or http://dx.doi.org/10.2139/ssrn.3796812

Bei Cui

Monash Centre for Financial Studies, Monash Business School, Monash University ( email )

13/f 30 Collins Street
Melbourne, Victorial 3000
Australia

Arie Eskenazi Gozluklu (Contact Author)

University of Warwick - Finance Group ( email )

Warwick Business School
Coventry, CV4 7AL
Great Britain

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

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