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K. F. Chan and T. Marsh: Overnight Post-Earnings Announcement Drift and SEC Form 8-K Disclosures

February 14, 2025

Companies reporting extreme quarterly earnings misses exhibit pronounced significant overnight drift post-announcement. We hypothesize that extreme earnings misses stimulate more intensive information acquisition throughout the reporting quarter, as those earnings announcements resolve a smaller fraction of information uncertainty. Using post-announcement SEC Form 8-K disclosures to proxy for additional material information, we show that information acquisition activities become more prevalent and substantial following extreme earnings misses. Concomitantly, the implied volatilities of these stocks remain elevated for much of the earnings quarter. Moreover, the incremental post-announcement Form 8-K information is unscheduled, mostly arriving overnight when market liquidity is low. These factors contribute to a higher overnight risk premium, and thus a pronounced average overnight drift post-earnings announcement.

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