We examine the speed and mechanism of the price discovery process following earnings announcements in the after-hours market, a very illiquid trading environment. Prices reflect earnings surprises mostly through changes in quotes rather than through trades. Following positive announcement surprises, ask prices adjust quickly while bid prices are slower to adjust, and vice versa for negative surprises. Returns computed from trade prices underestimate the speed and magnitude of price reactions following announcements relative to returns computed from quotes. These findings emphasize the importance of using quotes and not trade prices when examining intraday price discovery. Because firm announcements such as earnings generally occur in the after-hours market, using quotes is crucial as trading is sparse. We further illustrate the importance of quotes when examining the price discovery process around analyst recommendation revisions.

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收益消息如何传递到股票价格？

我们在盘后市场（一个流动性非常低的交易环境）公布收益公告后检查价格发现过程的速度和机制。价格主要通过报价变化而不是通过交易来反映盈利意外。在正面公告意外之后，要价快速调整，而买入价调整较慢，负面意外则反之亦然。从交易价格计算的回报相对于从报价计算的回报低估了公告后价格反应的速度和幅度。这些发现强调了在检查日内价格发现时使用报价而不是交易价格的重要性。由于诸如收益之类的公司公告通常发生在盘后市场，因此使用报价至关重要，因为交易稀少。