RT Journal Article
SR Electronic
T1 Is Extended-Hours Trading Indicative of Subsequent Returns?
JF The Journal of Investing
FD Institutional Investor Journals
SP 9
OP 19
DO 10.3905/joi.2018.27.1.009
VO 27
IS 1
A1 Shai Levi
A1 Joshua Livnat
A1 Li Zhang
A1 Xiao-Jun Zhang
YR 2018
UL https://pm-research.com/content/27/1/9.abstract
AB Trading outside the main session occurs between 4:00 p.m. and 8:00 p.m. and between 4:00 a.m. and 9:30 a.m. It is typically dominated by institutional investors. This study examines whether trading in the extended hours is predictive of future returns. The article shows that when significant new earnings information is released during the extended-hours sessions, the extended-hours returns are positively and significantly associated with the following main session returns and even with long-term drift returns. The signal based on the extended-hours return is incrementally beneficial in predicting the future returns beyond the earnings surprise signal. The evidence is consistent with an underreaction to information on earnings news days and suggests that the return reaction during extended trading hours can help predict the return drift after earnings disclosure.TOPICS: Security analysis and valuation, exchanges/markets/clearinghouses