PT  - JOURNAL ARTICLE
AU  - Jiasun Li
TI  - Slow Price Adjustment to Public News in After-Hours Trading
AID  - 10.3905/jot.2016.11.3.016
DP  - 2016 Jun 30
TA  - The Journal of Trading
PG  - 16--31
VI  - 11
IP  - 3
4099  - https://pm-research.com/content/11/3/16.short
4100  - https://pm-research.com/content/11/3/16.full
AB  - Almost all U.S. firms now announce earnings outside of regular trading hours. This article studies how stock prices incorporate information in after-hours trading. The author finds slow price adjustment accompanied by significant trading volume. During the 2002–2012 period, 5,881 rule-based trading opportunities generated an average return of 1.53% within four hours. After costs (assessed by a trading experiment), an investor who properly exploited the slow adjustment beat the market by 11.5% a year. The slow price adjustment persists under various levels of investor inattention, limited arbitrage capital, and short-sale constraints.TOPICS: Fundamental equity analysis, exchanges/markets/clearinghouses