Overnight returns, daytime reversals, and future stock returns

• 成果类型: Article
• 署名作者: Akbas, Ferhat; Boehmer, Ekkehart; Jiang, Chao; Koch, Paul D.
• 署名单位: University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; Singapore Management University; University of South Carolina System; University of South Carolina Columbia; Iowa State University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.09.019
• 发表日期: 2022
• 页码: 850-875
• 关键词: Overnight return; Daytime reversal; Heterogeneous investors; Retail traders; Arbitrageurs

摘要

A higher frequency of positive overnight returns followed by negative trading day rever-sals during a month suggests a more intense daily tug of war between opposing investor clienteles, who are likely composed of noise traders overnight and arbitrageurs during the day. We show that a more intense daily tug of war predicts higher future returns in the cross section. Additional tests support the conclusion that, in a more intense tug of war, daytime arbitrageurs are more likely to discount the possibility that positive news arrives overnight and thus overcorrect the persistent upward overnight price pressure. Published by Elsevier B.V.