Warp speed price moves: Jumps after earnings announcements

• 成果类型: Article
• 署名作者: Christensen, Kim; Timmermann, Allan; Veliyev, Bezirgen
• 署名单位: Aarhus University; University of California System; University of California San Diego; University of California System; University of California San Diego
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2025.104010
• 发表日期: 2025
• 关键词: After-hours trading; earnings announcements; Jump testing; Spillover effects; high-frequency data; market efficiency

摘要

Corporate earnings announcements unpack large bundles of public information that should, inefficient markets, trigger jumps in stock prices. Testing this implication is difficult in practice, as it requires noisy high- frequency data from after-hours markets, where most earnings announcements are released. Using a unique dataset and anew microstructure noise-robust jump test, we show that earnings announcements almost always induce jumps in the stock price of announcing firms. They also significantly raise the probability of price co-jumps in non-announcing firms and the market. We find that returns from a post-announcement trading strategy are consistent with efficient price formation after 2016.