时区差异和股票市场价格效率收益后公告

IF 3.1 3区经济学 Q2 BUSINESS, FINANCE

European Financial Management Pub Date : 2025-03-15 DOI:10.1111/eufm.12546

Anil Gautam, Grace Lepone

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引用次数: 0

摘要

本研究探讨投资者的时区差异是否会影响澳洲证券交易所盈余公告后股票的价格效率。我们研究了投资者在明显落后于交易所时区的时区大量持有的股票，与不落后于交易所时区的股票相比，它们对收益公告的反应。这项研究发现，与较晚时区相关的股票在公告后的价格效率较低。对于提前发布的公告和语气积极的公告，定价效率差异明显。我们的结果是稳健的替代价格效率措施，公告后的时间框架，和基准期。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

Time Zone Difference and Equity Market Price Efficiency Post-Earnings Announcements

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Time Zone Difference and Equity Market Price Efficiency Post-Earnings Announcements

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.

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来源期刊

European Financial Management BUSINESS, FINANCE-

CiteScore

4.30

自引率

18.20%

发文量

期刊介绍： European Financial Management publishes the best research from around the world, providing a forum for both academics and practitioners concerned with the financial management of modern corporation and financial institutions. The journal publishes signficant new finance research on timely issues and highlights key trends in Europe in a clear and accessible way, with articles covering international research and practice that have direct or indirect bearing on Europe.