The Differential Market Reaction to Pre-Open versus Post-Close Earnings Announcements

39 Pages Posted: 6 Nov 2017 Last revised: 21 Jul 2021

See all articles by Matthew R. Lyle

Matthew R. Lyle

Northwestern University - Kellogg School of Management

Andrew Stephan

University of Colorado at Boulder Leeds School of Business

Teri Lombardi Yohn

Emory University Goizueta Business School

Date Written: July 19, 2021

Abstract

The vast majority of U.S. public firms announce earnings in the post-close (between the closing bell and midnight) or the pre-open (between midnight and the opening bell). Prior research provides conflicting evidence as to whether the market reaction to earnings announcements differs depending on the time of day of the announcement. We provide direct evidence on whether there is a differential market reaction to earnings announcements released in the pre-open versus the post-close by using high frequency intra-day data. We find that pre-open announcements experience a lower earnings response coefficient, lower volatility, and lower trading volume in the 24 hours immediately following the announcement and greater post-earnings announcement drift in the days after the announcement. Despite finding no evidence that announcing in the PO or PC is strategic based on the earnings news, we find that the market incorporates earnings news more slowly after pre-open announcements than post-close announcements.

Keywords: Earnings Response Coefficient, Volatility, Earnings Announcements, Disclosure Timing

JEL Classification: G12, G14, G17

Suggested Citation

Lyle, Matthew R. and Stephan, Andrew and Yohn, Teri Lombardi, The Differential Market Reaction to Pre-Open versus Post-Close Earnings Announcements (July 19, 2021). Kelley School of Business Research Paper No. 17-75, Available at SSRN: https://ssrn.com/abstract=3064160 or http://dx.doi.org/10.2139/ssrn.3064160

Matthew R. Lyle (Contact Author)

Northwestern University - Kellogg School of Management ( email )

2001 Sheridan Road
Evanston, IL 60208
United States

Andrew Stephan

University of Colorado at Boulder Leeds School of Business ( email )

419 UCB
Boulder, CO 80309-0419
United States

Teri Lombardi Yohn

Emory University Goizueta Business School ( email )

201 Dowman Drive
Atlanta, GA 30322
United States

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