新闻和盘后交易

Bei Cui, A. Gozluklu
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引用次数: 2

摘要

本文探讨了美国股票市场的盘后交易(AHT)。我们在AHT期间收集了大量的新闻发布,并记录了它们对AHT活动和市场质量的影响。三种类型的新闻事件最吸引AHT:收益公告,内幕交易和指数重组。随着时间的推移,大多数收益公告都转向了AHT。企业内部人士更有可能将出售申报推迟到市场收盘。AHT期间的指数重构导致交易量激增,并导致负CAPM斜率。在2019冠状病毒病大流行期间,零售渠道(通过罗宾汉平台)导致盘后交易大幅增加。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
News and Trading After Hours
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.
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