Click to login and read the full article.
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600
Abstract
Almost all U.S. firms now announce earnings outside of regular trading hours. This article studies how stock prices incorporate information in after-hours trading. The author finds slow price adjustment accompanied by significant trading volume. During the 2002–2012 period, 5,881 rule-based trading opportunities generated an average return of 1.53% within four hours. After costs (assessed by a trading experiment), an investor who properly exploited the slow adjustment beat the market by 11.5% a year. The slow price adjustment persists under various levels of investor inattention, limited arbitrage capital, and short-sale constraints.
- © 2016 Institutional Investor, Inc.
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600
Log in using your username and password
In this issue
