Information Content of Earnings Announcements: Evidence from After-Hours Trading
研究了盘后交易在季度盈余公告后的价格贡献和价格发现，发现公告日盘后交易活跃，价格变化和发现主要发生在公告后，且盘后交易价格具有较高信息效率。
Abstract We study after-hours trading (AHT), price contributions, and price discovery following quarterly earnings announcements released outside of the normal trading hours. For Standard & Poor’s (S&P) 500 index stocks from 2004–2008, AHT is heightened on announcement days. A significant portion of the price change and price discovery occurs immediately after the earnings releases. Prices in AHT show a large degree of informational efficiency, further demonstrating the importance of price discovery in AHT. We also provide evidence suggesting that firms prefer after-hours earnings announcements, as trades are mainly from informed traders, and those trades are relied upon to convey information to the general public.