Warp speed price moves: Jumps after earnings announcements

Kim Christensen, Allan Timmermann and Bezirgen Veliyev

Journal of Financial Economics, 2025, vol. 167, issue C

Abstract: Corporate earnings announcements unpack large bundles of public information that should, in efficient markets, trigger jumps in stock prices. Testing this implication is difficult in practice, as it requires noisy high-frequency data from after-hours markets, where most earnings announcements are released. Using a unique dataset and a new microstructure noise-robust jump test, we show that earnings announcements almost always induce jumps in the stock price of announcing firms. They also significantly raise the probability of price co-jumps in non-announcing firms and the market. We find that returns from a post-announcement trading strategy are consistent with efficient price formation after 2016.

Keywords: After-hours trading; Earnings announcements; Jump testing; Spillover effects; High-frequency data; Market efficiency (search for similar items in EconPapers)
JEL-codes: C10 C80 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:167:y:2025:i:c:s0304405x25000182

DOI: 10.1016/j.jfineco.2025.104010

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