隔夜收益公告和开盘前价格发现

IF 1.3 4区经济学 Q3 ECONOMICS

Japan and the World Economy Pub Date : 2024-03-12 DOI:10.1016/j.japwor.2024.101249

Xijuan Xiao , Ryuichi Yamamoto

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引用次数: 0

摘要

本研究探讨了不同交易活动的股票在正常交易时间内外披露收益公告时的市场反应。对于交易不太活跃的股票来说，当市场收盘后报告坏消息时，潜在的知情交易就会出现，同时回报率反转和市场效率低下的情况也会加剧。这些知情交易活动是公告后开盘前价格调整的部分原因。虽然非活跃股在公告发布后的开盘前阶段并不像活跃股那样显著促进价格发现，但它提供了一个解决隔夜信息发布后订单失衡的环境。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Overnight earnings announcements and preopening price discovery

This study examines the market responses to announcements of stocks with different trading activities that disclose earnings during and outside normal trading hours. For less actively traded stocks, when bad news is reported after the market closes, potential informed trading exists, along with heightened return reversals and market inefficiency before the release. These informed trading activities are partially responsible for the post-announcement preopening price adjustments. Although the after-release preopening period for inactive stocks does not significantly facilitate price discovery as much as for active stocks, it provides an environment to resolve order imbalances after overnight information.

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来源期刊

Japan and the World Economy ECONOMICS-

CiteScore

2.60

自引率

0.00%

发文量

审稿时长

46 days

期刊介绍： The increase in Japan share of international trade and financial transactions has had a major impact on the world economy in general and on the U.S. economy in particular. The new economic interdependence between Japan and its trading partners created a variety of problems and so raised many issues that require further study. Japan and the World Economy will publish original research in economics, finance, managerial sciences, and marketing that express these concerns.