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

Gamm, Fabian

URL: https://www.dgf2019.wiwi.uni-due.de/fileadmin/file...
Document Type: Conference or workshop publication
Year of publication: 2019
Book title: 26th Annual Meeting of the German Finance Association (DGF) : University of Duisburg-Essen, September 27 - 28, 2019 : Conference booklet
Page range: 33
Conference title: 26th Annual Meeting of the German Finance Association (DGF)
Location of the conference venue: Essen, Germany
Date of the conference: 27.-28.09.2019
Place of publication: Trier
Publishing house: DGF Deutsche Gesellschaft für Finanzwirtschaft e.V.
Publication language: English
Institution: Business School > Internat. Finanzierung (Ruenzi)
Subject: 330 Economics
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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