Time Zone Difference and Equity Market Price Efficiency Post‐Earnings Announcements
Year: 2025
Type: article
Abstract: ABSTRACT This study investigates whether differences in investors' time zones affect stocks' price efficiency post‐earnings announcements on the Australian Securities Exchange. We examine how stocks heavily held by investors in a time zone significantly behind the exchange time zone respond to earnings announcements, compared to stocks that are not. This study finds that stocks associated with a later time zone are less price‐efficient post announcement. The pricing efficiency difference is pronounced for early announcements and announcements with a positive tone. Our results are robust to alternative price efficiency measures, post announcement time frames, and benchmark periods.
Source: European Financial Management
DOI: 10.1111/eufm.12546
Authors: Anil Gautam, Grace Lepone
Institution: Macquarie University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: hybrid
Estimated APC paid: $3,350
OpenAlex ID: W4408468870