The timing of information arrival and overnight returns |
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| Institution: | 1. UNSW Sydney, School of Accounting, Sydney, NSW 2052, Australia;2. University of Western Australia, Accounting and Finance, Perth, WA 6009, Australia;1. University of Michigan-Flint, Flint, MI, United States;2. Miami University, Oxford, OH, United States;3. University of Memphis, Memphis, TN, United states;4. Old Dominion Unversity, Norfolk, VA, United States;1. Faculté de Droit, des Sciences Économiques et de Gestion (ARGUMans), Le Mans Université, Le Mans, France;2. COMSATS University Islamabad, Vehari Campus, Islamabad, Pakistan;3. Emlyon Business School, 23 Avenue Guy de Collongue, Écully, France;4. NEOMA Business School, 1 Rue du Maréchal Juin, 76130 Mont-Saint-Aignan, France;1. Department of Business Administration, University of Patras, University Campus, 26504 Rio - Patras, Greece;2. Department of Mathematics, University of Patras, University Campus, 26504 Rio – Patras, Greece;1. Auburn University, Harbert College of Business, 301 Lowder Hall, Auburn, AL 36849, United States;2. Kennesaw State University, Coles College of Business, Burruss Building 205, Kennesaw, GA 30188, United States;3. John Carroll University, Boler College of Business, Kramer School of Accountancy and Information Sciences, 6 Bruening Hall, University Heights, OH 44118, United States |
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| Abstract: | This paper examines the information assimilation of overnight returns after positive or negative news arriving during RHT (regular-hours-trading) or AHT (after-hour-trading). We first show that overnight returns are informative of earnings news arriving either during RHT or AHT, and the effects are strongest on the first day after the announcement. Our results then suggest that positive (negative) overnight returns after good (bad) earnings news arrival increase (decrease) CARs, with more pronounced effects for news released AHT. We further show that the market takes the timing of news release into account and reacts negatively to those released during AHT, causing significant under-performance in the subsequent CAR. Lastly, our finding of market underreaction to good news and overreaction to bad news when it is released during AHT suggest that it may be more appropriate for managers to release all news during RHT when market participants are at their trading desks. |
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| Keywords: | Overnight returns Earnings announcement CAR After-hour trading G10 G19 G120 |
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