PT  - JOURNAL ARTICLE
AU  - Shai Levi
AU  - Joshua Livnat
AU  - Li Zhang
AU  - Xiao-Jun Zhang
TI  - Is Extended-Hours Trading Indicative of Subsequent Returns?
AID  - 10.3905/joi.2018.27.1.009
DP  - 2018 Feb 28
TA  - The Journal of Investing
PG  - 9--19
VI  - 27
IP  - 1
4099  - https://pm-research.com/content/27/1/9.short
4100  - https://pm-research.com/content/27/1/9.full
AB  - Trading outside the main session occurs between 4:00 p.m. and 8:00 p.m. and between 4:00 a.m. and 9:30 a.m. It is typically dominated by institutional investors. This study examines whether trading in the extended hours is predictive of future returns. The article shows that when significant new earnings information is released during the extended-hours sessions, the extended-hours returns are positively and significantly associated with the following main session returns and even with long-term drift returns. The signal based on the extended-hours return is incrementally beneficial in predicting the future returns beyond the earnings surprise signal. The evidence is consistent with an underreaction to information on earnings news days and suggests that the return reaction during extended trading hours can help predict the return drift after earnings disclosure.TOPICS: Security analysis and valuation, exchanges/markets/clearinghouses