Price Discovery on the NYSE and the NASDAQ: The Case of Overnight and Daytime News Releases
研究纽交所和纳斯达克对季度盈余公告的市场反应，发现不同交易环境（专家市场与做市商市场、集合竞价与连续交易）在吸收信息能力上存在差异。
We examine the market response to quarterly earnings announcements made during trading and non-trading hours on the NYSE and the NASDAQ. For non-trading-hours announcements, the opening trade on the NYSE impounds most of the price response, whereas for trading-hours announcement trades. In contrast, the first post-announcement trade on the NASDAQ impounds most of the price response regardless of announcement time. These results suggest that the different trading environments on the two exchanges (e.g., specialist versus dealer market, call auction versus continuous trading, etc.) may differ in their ability to impound information.