Publication Type
Journal Article
Version
publishedVersion
Publication Date
9-2022
Abstract
A higher frequency of positive overnight returns followed by negative trading day reversals 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.
Keywords
Arbitrageurs, daytime reversal, heterogeneous investors, overnight return, retail traders
Discipline
Finance | Finance and Financial Management
Publication
Journal of Financial Economics
Volume
145
Issue
3
First Page
850
Last Page
875
ISSN
0304-405X
Identifier
10.1016/j.jfineco.2021.09.019
Publisher
Elsevier
Citation
AKBAS, Ferhat; BOEHMER, Ekkehart; JIANG, Chao; and KOCH, Paul D..
Overnight returns, daytime reversals, and future stock returns. (2022). Journal of Financial Economics. 145, (3), 850-875.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/7712
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
External URL
https://api.elsevier.com/content/abstract/scopus_id/85118580218
Additional URL
https://doi.org/10.1016/j.jfineco.2021.09.019