کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5089643 1375599 2012 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Overnight public information, order placement, and price discovery during the pre-opening period
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Overnight public information, order placement, and price discovery during the pre-opening period
چکیده انگلیسی

This study examines the impact of corporate news announcements released overnight on price discovery during the pre-opening period in the Australian Securities Exchange. Our results suggest that the presence of these announcements increases the efficiency of indicative opening prices and that the intensity of these announcements significantly influences the aggressiveness of pre-opening orders. Using earnings announcements to compare the speed of price adjustments in response to overnight and daytime information of a homogeneous type, we find that prices respond immediately to overnight news upon the commencement of trading, whereas adjustments based on trading-hours news tend not to be instantaneous. Overall, our evidence highlights the important role of the pre-opening period in price discovery and the prospect of further enhancing this role by timing the release of public information to occur during non-trading hours.

► Corporate overnight news increases the efficiency of indicative opening prices. ► Corporate overnight news influences the aggressiveness of pre-opening orders. ► Stock prices incorporate overnight earnings news immediately upon trading. ► Stock price adjustments to daytime earnings news are not instantaneous. ► We highlight an important role of the pre-opening period in price discovery.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 36, Issue 10, October 2012, Pages 2837-2851
نویسندگان
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