"They study in the afternoon."
अनुवाद:वे दोपहर में पढ़ते हैं।
वे किताब को पढ़ते हैं=They read the book वे दोपहर में पढ़ते हैं =They read in the afternoon वे दोपहर में किताब को पढ़ते हैं =They read the afternoon the book ???(does not make sense). It should translate as "They read the book in the afternoon" See the difference between को and में ? वे किसको पढ़ते हैं =किताब को (what do they read=the book) वे कब पढ़ते हैं =दोपहर में (when do they read =in the afternoon)
'पढ़ना' = 'to read', 'पढ़ाई करना' = 'to study'. One can read newspaper, one can read notices, headlines, expiry date on cover but they are not studied . Likewise 'पढ़ना' is used, 'पढ़ाई करना' is not used for these things. There are situations when both can be used, but for study (or studying purposes) only 'पढ़ाई करना' is used.
for 'studying for an exam' either can be used. For ' I'm studying in college.' both should be accepted. While, 'You study', 'He/She/It studies' both are used. I think when 'subject' or 'object of study' is not mentioned in sentence with verb 'study', then both is used. As for 'I study.' , (As a native speaker) I admit I only use 'मैं पढ़ता हूँ '. Mine usage can be result of colloquial variant. But "मैं पढ़ाई करती हूँ" is not wrong. It should also be accepted. (By the way, strictly as per rules only 'पढ़ाई करना' should be used for 'study'. But rules bend somewhat during translating.)