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The effect of overnight corporate announcements on price discovery

Author

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  • Liu, Chunyuan
  • Han, Liyan
  • Chu, Gang

Abstract

This study utilized high-frequency trading data and overnight announcement data to test the effect of overnight announcements on price discovery. The results support the hypothesis that overnight announcements, as attention-grabbing events, can facilitate price discovery. However, investor attention would be distracted by overnight announcements from other companies. We provide evidence to show that investor distraction dilutes the enhancing effect of overnight announcements on price discovery. Our results emphasize the critical role of investor attention in price discovery.

Suggested Citation

  • Liu, Chunyuan & Han, Liyan & Chu, Gang, 2023. "The effect of overnight corporate announcements on price discovery," Finance Research Letters, Elsevier, vol. 53(C).
    • Handle: RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000399
    DOI: 10.1016/j.frl.2023.103665
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