News and Trading After Hours

70 Pages Posted: 11 Mar 2021

See all articles by Bei Cui

Bei Cui

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

Arie Eskenazi Gozluklu

University of Warwick

Date Written: March 3, 2021

Abstract

This paper explores 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. Three types of news events attract most AHT: earnings announcements, insider trades, and index reconstitutions. The majority of earnings announcements shift to AHT over time. Corporate insiders are more likely to delay their sales filings until markets close. Index reconstitutions during AHT lead to volume surge and contribute to the negative CAPM slope. During the Covid-19 pandemic, retail access (via Robinhood platform) leads to a sharp increase in after-hours trades.

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 (March 3, 2021). 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 ( email )

Gibbet Hill Rd
Coventry, CV4 7AL
Great Britain

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

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