The Impact of Intraday Timing of Earnings Announcements on the Bid-Ask Spread and Depth

44 Pages Posted: 29 Jul 2004

See all articles by Maarten Pronk

Maarten Pronk

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Multiple version iconThere are 2 versions of this paper

Date Written: July 26, 2004

Abstract

Libby, Mathieu and Robb (2002) investigate, among other things, the impact of intraday timing of earnings announcements on the bid-ask spread and depth for a sample of firms listed on the Toronto Stock Exchange. They document, in a univariate setting, that the spread is relatively wider and the depth lower after announcements declared during non-trading hours than after announcements released during trading hours. This study extends their research by (a) investigating earnings announcements declared by firms traded on the NYSE or AMEX, (b) addressing this issue in a multivariate setting, (c) exploring before-open and after-close announcements separately, and (d) analyzing the impact by half-hour interval. Interestingly, my results indicate, opposite to the findings by Libby et al (2002), that the spread is relatively smaller and the depth higher after overnight announcements than after daytime announcements. These findings are robust to firm-specific factors, cross-listings, differences in the content of daytime and overnight releases, and intraday timing consistency. In addition, this effect occurs after before-open and after after-close announcements, and the analysis by half-hour interval reveals that the impact on the spread (depth) lasts for four (seven) trading half-hours.

Keywords: Intraday timing, spreads, depths, earnings announcements

JEL Classification: G12, M41, G15

Suggested Citation

Pronk, Maarten, The Impact of Intraday Timing of Earnings Announcements on the Bid-Ask Spread and Depth (July 26, 2004). Available at SSRN: https://ssrn.com/abstract=570021 or http://dx.doi.org/10.2139/ssrn.570021

Maarten Pronk (Contact Author)

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) ( email )

P.O. Box 1738
3000 DR Rotterdam, NL 3062 PA
Netherlands

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