I examine how the efficiency of price discovery in the U.S. stock market’s extended market hours (EMH) has changed over time, focusing on the speed at which prices incorporate new information during the after-market-close (AMC) and before-market-open (BMO) sessions. Using tick-level data, I analyze how S&P 1500 stock prices respond to earnings surprises (ESs) in two periods: a Base Period (2004–2012), chosen to enable comparison with Li (2016A), and a Post-Li Period (2017–2021), which follows Li’s publication.

Consistent with prior EMH price discovery literature, I construct an event window that begins at the time of the ES and ends at the close of the next regular trading session. I divide the window into two segments: an initial price adjustment (IPA) segment of 15 minutes followed by a short-term extended market post-earnings announcement drift (STEM-PEAD) segment that runs through the end of the event window. I measure the total price adjustment over the full window and the share that occurs within each segment.

I find strong evidence that EMH price discovery has become faster in the Post-Li period -- a greater proportion of the total adjustment now occurs during the IPA segment, and a smaller proportion during the STEM-PEAD segment. I also document meaningful differences between AMC and BMO. Prices respond more quickly during AMC in the initial minutes following an ES. However, by the end of both sessions, BMO accounts for a greater share of the total price adjustment than AMC. The crossover point varies by session (AMC vs. BMO), pricing instrument (trades vs. mid-quotes), and period (Base vs. Post-Li).

In other analyses, I re-examine Gregoire & Martineau (2022)’s finding that quote prices adjust more quickly than trade prices in EMH in the initial minutes after an ES. I find similar results for BMO ES events, and opposite results for AMC ES events.

By disaggregating EMH into separate AMC vs. BMO sessions and analyzing both trade and quote data, my study contributes new insights to the EMH price discovery and PEAD literatures and has practical implications for investors, executives, and regulators.