Abstract
We examine after-hours short-selling following quarterly earnings announcements that are released outside of the normal trading hours. On these earnings announcement days, a significant portion of the short selling activity happens outside regular trading hours. Short sellers who trade after-hours on announcement days earn an excess return of 0.25 percent and 0.26 percent during before-market-open (BMO) and after-market-close sessions (AMC), respectively. The magnitude of these profits increases to 1.77 percent for AMC earnings announcements with negative surprise. In addition, we find that the weighted price contribution during after-hours periods increases in after-hours short selling, suggesting that short sellers are informed.
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