Can overnight return really serve as a proxy for firm-specific investor sentiment? Cross-country evidence

Xiong Xiong, Yongqiang Meng, Xiao Li and Dehua Shen

Journal of International Financial Markets, Institutions and Money, 2020, vol. 64, issue C

Abstract: This paper investigates the suitability of employing overnight return as the proxy for firm-specific investor sentiment in six G7 countries (excluding U.S.) and five Asia-Pacific countries (New Zealand, Singapore, Australia, China and India), by analyzing whether it processes certain characteristics expected of sentiment measurement, i.e., short-run persistence, whether the persistence is more pronounced for harder-to-value firms and long-run reversal. Overall, the empirical findings fail to support that overnight return is a satisfied proxy for firm-specific investor sentiment outside the U.S. stock market.

Keywords: Overnight return; Firm-specific investor sentiment; Sentiment-driven mispricing; Cross-country stock markets (search for similar items in EconPapers)
JEL-codes: G12 G14 G15 G41 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1042443119304822
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:64:y:2020:i:c:s1042443119304822

DOI: 10.1016/j.intfin.2019.101173

Access Statistics for this article

Journal of International Financial Markets, Institutions and Money is currently edited by I. Mathur and C. J. Neely

More articles in Journal of International Financial Markets, Institutions and Money from Elsevier
Bibliographic data for series maintained by Catherine Liu ().