Price Discovery on the NYSE and the NASDAQ: The case of Overnight Daytime News Releases

Jason T. Greene and Susan G. Watts

Financial Management, 1996, vol. 25, issue 1

Abstract: We examine the market response to quarterly earnings announcements made during trading and non-trading hours on the NYSE and the NASDAQ. For non-trading-hours announcements, the opening trade on the NYSE impounds most of the price response, whereas for trading-hours announcement trades. In contrast, the first post-announcement trade on the NASDAQ impounds most of the price response regardless of announcement time. These results suggest that the different trading environments on the two exchanges (e.g., specialist versus dealer market, call auction versus continuous trading, etc.) may differ in their ability to impound information.

Date: 1996
References: Add references at CitEc
Citations: View citations in EconPapers (34)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fma:fmanag:greene96

Access Statistics for this article

Financial Management is currently edited by Bill Christie

More articles in Financial Management from Financial Management Association University of South Florida 4202 E. Fowler Ave. COBA #3331 Tampa, FL 33620. Contact information at EDIRC.
Bibliographic data for series maintained by Courtney Connors ( this e-mail address is bad, please contact ).