Overnight stock returns, intraday returns, and firm-specific investor sentiment

Byungoh Kim and Sangwon Suh

The North American Journal of Economics and Finance, 2021, vol. 55, issue C

Abstract: In this study, we propose a new index for measuring firm-specific investor sentiment using overnight and intraday stock returns. We use actual equity data to construct the firm-level investor sentiment index and find that the new index has characteristics expected of a sentiment measure. In addition, we propose a novel sentiment-weighted trading strategy and apply it to momentum and short-term reversal strategies. We find that the sentiment-weighted trading strategy generates better performance in momentum and short-term reversal strategies. The sentiment-weighted trading strategy’s superior performance is evidence that our firm-level investor sentiment index possesses predictive powers with regard to future returns.

Keywords: Investor sentiment; Overnight return; Intraday return; Momentum; Short-term reversal (search for similar items in EconPapers)
JEL-codes: G12 G14 G23 N22 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820301790

DOI: 10.1016/j.najef.2020.101287

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