Earnings Announcements in China: Overnight-Intraday Disparity

59 Pages Posted: 25 Sep 2023

See all articles by Junhao Liu

Junhao Liu

University of Toronto - Rotman School of Management

Ole-Kristian Hope

University of Toronto - Rotman School of Management

Danqi Hu

Guanghua School of Management, Peking University; Northwestern University - Kellogg School of Management

Multiple version iconThere are 2 versions of this paper

Date Written: September 3, 2023

Abstract

Based on a unique arrangement of trading and disclosure times around earnings announcements in the Chinese stock market, we provide evidence of a striking overnight-intraday disparity in terms of the reaction to earnings news. Specifically, we find that the overnight period exhibits a strong and consistent reaction to earnings announcements, whereas the intraday period trades against both the earnings news and the prior market reaction during the overnight period. In addition, we show that abnormal overnight returns on earnings announcement days exhibit strong predictability for future stock returns, consistent with the overnight returns containing value-relevant signals. In contrast, we observe no return predictability for abnormal intraday returns on earnings announcement days, which as a result, also undermines the return predictability of abnormal daily returns. We propose possible explanations for the overnight-intraday disparity. We conclude that the differences in trading mechanisms between the two periods as well as in investor composition likely drive the phenomenon.

Keywords: Earnings News, Earnings Announcements, Overnight Returns, Intraday Returns, China

JEL Classification: G10, G30, G31, G32, G34, G38, M10, M40, M41, M48

Suggested Citation

Liu, Junhao and Hope, Ole-Kristian and Hu, Danqi, Earnings Announcements in China: Overnight-Intraday Disparity (September 3, 2023). Journal of Corporate Finance, Forthcoming, Available at SSRN: https://ssrn.com/abstract=4560482

Junhao Liu

University of Toronto - Rotman School of Management ( email )

105 St. George Street
Toronto, Ontario M5S 3E6
Canada

Ole-Kristian Hope (Contact Author)

University of Toronto - Rotman School of Management ( email )

105 St. George Street
Toronto, Ontario M5S 3E6 M5S1S4
Canada

HOME PAGE: http://www.rotman.utoronto.ca/FacultyAndResearch/Faculty/FacultyBios/Hope.aspx

Danqi Hu

Guanghua School of Management, Peking University ( email )

Northwestern University - Kellogg School of Management ( email )

2211 campus drive
EVANSTON, IL 60208
United States

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