Journal of Financial and Quantitative Analysis

Research Articles

Information Content of Earnings Announcements: Evidence from After-Hours Trading

Christine X. Jianga1, Tanakorn Likitapiwata3 and Thomas H. McInisha2


a2, Fogelman College of Business and Economics, University of Memphis, Memphis, TN 38152

a3, Faculty of Commerce and Accountancy, Chulalongkorn University, Bangkok, Thailand


We study after-hours trading (AHT), price contributions, and price discovery following quarterly earnings announcements released outside of the normal trading hours. For Standard & Poor’s (S&P) 500 index stocks from 2004–2008, AHT is heightened on announcement days. A significant portion of the price change and price discovery occurs immediately after the earnings releases. Prices in AHT show a large degree of informational efficiency, further demonstrating the importance of price discovery in AHT. We also provide evidence suggesting that firms prefer after-hours earnings announcements, as trades are mainly from informed traders, and those trades are relied upon to convey information to the general public.