Weissofner, Florian and Wessels, Ulrich (2019) Overnight Returns: An International Sentiment Measure. JOURNAL OF BEHAVIORAL FINANCE. ISSN 1542-7560, 1542-7579
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The suitability of overnight returns as a firm-specific investor sentiment measure, previously found in the United States, is similarly present in international equity markets. This delivers a completely novel approach to measure investor sentiment at the firm level. For applicability reasons overnight returns have to fulfill 3 characteristics that would be expected of a sentiment measure. First, overnight returns persist in the short run; second, this persistence is stronger among harder-to-value firms; and third, stocks with high overnight returns underperform in the long run. Implementing this novel sentiment measure on a common anomaly, the authors find explanatory power even beyond a market-wide sentiment measure.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | INVESTOR SENTIMENT; CROSS-SECTION; MOMENTUM; ATTENTION; TRADES; RISK; Investor sentiment; Overnight returns; International markets; Asset pricing; Behavioral finance |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner) |
| Depositing User: | Petra Gürster |
| Date Deposited: | 06 Apr 2020 10:44 |
| Last Modified: | 06 Apr 2020 10:44 |
| URI: | https://pred.uni-regensburg.de/id/eprint/25987 |
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