TY - JOUR T1 - Slow Price Adjustment to Public News in After-Hours Trading JF - The Journal of Trading SP - 16 LP - 31 DO - 10.3905/jot.2016.11.3.016 VL - 11 IS - 3 AU - Jiasun Li Y1 - 2016/06/30 UR - https://pm-research.com/content/11/3/16.abstract N2 - 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 ER -