A surprise that keeps you awake: Overnight returns after earnings announcements

Gamm, Fabian

DOI: https://doi.org/10.2139/ssrn.3293638
URL: https://ssrn.com/abstract=3293638
Document Type: Working paper
Year of publication: 2019
Place of publication: Rochester, NY
Publishing house: SSRN
Publication language: English
Institution: Business School > Internat. Finanzierung (Ruenzi)
Subject: 330 Economics
Classification: JEL: G11 , G12 , G14 , G41,
Keywords (English): Investor Attention , Large Earnings Surprises , Overnight and Intraday Stock Returns , Disposition Effect
Abstract: I dissect stock returns after earnings announcements into their overnight and intraday components and document strong positive abnormal overnight returns for several weeks after both large positive and negative earnings surprises. This finding is in line with attention-induced buying pressure. Consistently, overnight returns are higher when retail investor attention towards the surprise is high. Corresponding intraday returns have the opposite sign, which makes this pattern invisible in close-to-close returns. The effect is stronger during high sentiment periods as well as for hard-to-arbitrage firms and weaker if the average investor holds the stock at a gain.

Dieser Eintrag ist Teil der Universitätsbibliographie.

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