Time Zone Difference and Equity Market Price Efficiency Post‐Earnings Announcements
研究澳大利亚证券交易所中，投资者时区差异如何影响盈余公告后的股价效率，发现时区较晚的投资者持有的股票在公告后价格效率更低，尤其在早间公告和正面语调公告中更明显。
ABSTRACT This study investigates whether differences in investors' time zones affect stocks' price efficiency post‐earnings announcements on the Australian Securities Exchange. We examine how stocks heavily held by investors in a time zone significantly behind the exchange time zone respond to earnings announcements, compared to stocks that are not. This study finds that stocks associated with a later time zone are less price‐efficient post announcement. The pricing efficiency difference is pronounced for early announcements and announcements with a positive tone. Our results are robust to alternative price efficiency measures, post announcement time frames, and benchmark periods.