News and Trading After Hours

Abstract

This paper explores after-hours trading (AHT) in U.S. equity markets. We collect a large set of news releases during AHT and document their effect on AHT activity and market quality. Three types of news events attract most AHT: earnings announcements, insider trades, and index reconstitutions. The majority of earnings announcements shift to AHT over time. Corporate insiders are more likely to delay their sales filings until markets close. Index reconstitutions during AHT lead to volume surge and contribute to the negative CAPM slope. During the Covid-19 pandemic, retail access (via Robinhood platform) leads to a sharp increase in after-hours trades.