Financial Management · 1996 · 123 citations · 13 references
BusinessBusiness EconomicsFinanceFinancial EconomicsFinancial MarketsTime Series AnalysisCapital MarketsEarnings AnnouncementsPrice DiscoveryStock MarketsMarket Reaction To InformationPrice Discovery Across MarketsPrice Discovery AnalysisPrice Discovery Models
Trading environments on the NYSE and NASDAQ may differ in their ability to absorb information. The study examines how quarterly earnings announcements during trading and non‑trading hours affect market response on the NYSE and NASDAQ. The study finds that NYSE’s opening trade absorbs most of the price reaction to non‑trading‑hour earnings, while NASDAQ’s first post‑announcement trade captures most of the reaction regardless of announcement timing, indicating that the two exchanges’ trading mechanisms differ in information absorption.
We examine the market response to quarterly earnings announcements made during trading and non-trading hours on the NYSE and the NASDAQ. For non-trading-hours announcements, the opening trade on the NYSE impounds most of the price response, whereas for trading-hours announcement trades. In contrast, the first post-announcement trade on the NASDAQ impounds most of the price response regardless of announcement time. These results suggest that the different trading environments on the two exchanges (e.g., specialist versus dealer market, call auction versus continuous trading, etc.) may differ in their ability to impound information.
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Kenneth R. French, Richard Roll · Journal of Financial Economics · 1986 · 1.9K citations
Financial analysts' forecasts of earnings
Dov Fried, Dan Givoly · Journal of Accounting and Economics · 1982 · 604 citations
Business, Accountancy, Finance +12