Overnight Returns: An International Sentiment Measure

Florian Weißofner and Ulrich Wessels

Journal of Behavioral Finance, 2020, vol. 21, issue 2, 205-217

Abstract: 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.

Date: 2020
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://hdl.handle.net/10.1080/15427560.2019.1663855 (text/html)
Access to full text is restricted to subscribers.

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:taf:hbhfxx:v:21:y:2020:i:2:p:205-217

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/hbhf20

DOI: 10.1080/15427560.2019.1663855

Access Statistics for this article

Journal of Behavioral Finance is currently edited by Brian Bruce

More articles in Journal of Behavioral Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().