Does It Matter? Information Releases Before Versus After Trading Hours
研究发现美国太平洋时区公司隔夜收益对周回报的影响比东部时区公司强23%，这种不对称与信息发布时间有关，并导致盈余公告后漂移的差异。
ABSTRACT This paper shows that for firms in Pacific time zone of the United States, the effect on weekly returns from overnight returns would be 23% stronger than firms in Eastern time zone. This asymmetrical impact is documented to be associated with degrees of information transparency due to firm's different timings of information releases. This paper demonstrates that such asymmetric effect contributes to the post earnings announcement drifts where the 1‐day overnight returns at announcement day lead to higher cumulative returns of firms in the East coast; suggesting that for firms in the West, lower information asymmetry leads to weaker drift of returns.