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The Impact of Earnings Announcements Before and After Regular Market Hours on Asset Price Dynamics in the Fintech Era

Author

Listed:
  • Janhavi Shankar Tripathi

    (School of Business, St. Bonaventure University, St. Bonaventure, NY 14778, USA)

  • Erick W. Rengifo

    (Department of Economics, The Center for International Policy Studies, Fordham University, New York, NY 10458, USA)

Abstract

With the recent increase in retail investor participation led by commission-less fintech trading applications and new features like fractional trading, we now have higher volatility and significantly quicker price changes. This makes it hard to make informed trading decisions. Moreover, these effects are exacerbated even further around earnings announcements days. In this paper, we use Nasdaq data feed at a minute frequency and show that there is a significant increase in the slope of the price–volume structure during extended hours (after-hours, or pre-market hours) as compared with the ones observed during regular market times. Our analysis shows that the liquidity is much less during the extended market hours. As such, earnings announcements of stocks during these times have a significantly larger price impact than those stocks that have their earnings announced during regular trading hours. This significant difference can be explained by observing the limit order book structures during these different trading periods. We suggest that the earnings announcements should not be made during extended hours given the significantly lower liquidity and thus, the significantly larger price impact that not only determines the prices for the next trading session but also sets the new “fundamental” price signals for the stocks.

Suggested Citation

  • Janhavi Shankar Tripathi & Erick W. Rengifo, 2025. "The Impact of Earnings Announcements Before and After Regular Market Hours on Asset Price Dynamics in the Fintech Era," JRFM, MDPI, vol. 18(2), pages 1-27, February.
    • Handle: RePEc:gam:jjrfmx:v:18:y:2025:i:2:p:75-:d:1582296
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