The extension of trading hours to provide more trading opportunities and improve price efficiency has increasingly been discussed. However, currently, there is limited trading activity during the stock market's extended-hours trading session. Thus, we should examine whether the extension of...

Despite the introduction of sophisticated stock market indices, investors often trade portfolios of the flawed indices to change their exposure to the market. In this study, we show that these transactions cause significant mispricing in individual stocks, especially during periods of...