We explore the impact of earnings announcements on equity markets, using intraday price data for the DJIA stocks. We find on a daily basis, an abnormally high volatility only within one day following the overnight announcement. On an intraday basis, a striking volatility spike stands out during...

We examine stock market returns at short intervals following after-hours earnings announcements to determine whether the opening price set by NYSE market makers is efficient. Our tests of return volatility, correlation of the close-to-open return with subsequent returns, and trading strategies...