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A tug of war: overnight versus intraday expected returns

Citations

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Cited by:

  1. Qi Cui & Tianhong Zhao & Tingyue Cui, 2023. "Macroeconomic Announcements: How Announcements Shape Trading Strategies," SAGE Open, , vol. 13(4), pages 21582440231, December.
  2. Chan, Kam Fong & Marsh, Terry, 2022. "Asset pricing on earnings announcement days," Journal of Financial Economics, Elsevier, vol. 144(3), pages 1022-1042.
  3. Ham, Hyuna & Ryu, Doojin & Webb, Robert I. & Yu, Jinyoung, 2023. "How do investors react to overnight returns? Evidence from Korea," Finance Research Letters, Elsevier, vol. 54(C).
  4. Aytekin Ertan & Stephen A. Karolyi & Peter W. Kelly & Robert Stoumbos, 2022. "Earnings announcement return extrapolation," Review of Accounting Studies, Springer, vol. 27(1), pages 185-230, March.
  5. Wang, Wenzhao, 2021. "The mean–variance relation: A 24-hour story," Economics Letters, Elsevier, vol. 208(C).
  6. Cheema, Muhammad A. & Chiah, Mardy & Man, Yimei, 2022. "Overnight returns, daytime reversals, and future stock returns: Is China different?," Pacific-Basin Finance Journal, Elsevier, vol. 74(C).
  7. David Ardia & Cl'ement Aymard & Tolga Cenesizoglu, 2023. "Fast and Furious: A High-Frequency Analysis of Robinhood Users' Trading Behavior," Papers 2307.11012, arXiv.org.
  8. Hu, Grace Xing & Pan, Jun & Wang, Jiang & Zhu, Haoxiang, 2022. "Premium for heightened uncertainty: Explaining pre-announcement market returns," Journal of Financial Economics, Elsevier, vol. 145(3), pages 909-936.
  9. Jūra Liaukonytė & Alminas Žaldokas, 2022. "Background Noise? TV Advertising Affects Real-Time Investor Behavior," Management Science, INFORMS, vol. 68(4), pages 2465-2484, April.
  10. Gkionis, Konstantinos & Kostakis, Alexandros & Skiadopoulos, George & Stilger, Przemyslaw S., 2021. "Positive stock information in out-of-the-money option prices," Journal of Banking & Finance, Elsevier, vol. 128(C).
  11. Zhang, Hang & Tsai, Wei-Che & Weng, Pei-Shih & Tsai, Pin-Chieh, 2023. "Overnight returns and investor sentiment: Further evidence from the Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
  12. Zhang, Bing, 2020. "T+1 trading mechanism causes negative overnight return," Economic Modelling, Elsevier, vol. 89(C), pages 55-71.
  13. Rui Fan & Oleksandr Talavera & Vu Tran, 2023. "Social media and price discovery: The case of cross‐listed firms," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 46(1), pages 151-167, February.
  14. Lin, Chaonan & Chang, Hui-Wen & Chou, Robin K., 2023. "Overnight versus intraday returns of anomalies in China," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
  15. Linton, Oliver & Wu, Jianbin, 2020. "A coupled component DCS-EGARCH model for intraday and overnight volatility," Journal of Econometrics, Elsevier, vol. 217(1), pages 176-201.
  16. Niu, Zilong, 2020. "Essays in empirical asset pricing and international finance," Other publications TiSEM 986cefd5-4d2b-4d5f-be7a-2, Tilburg University, School of Economics and Management.
  17. Akbas, Ferhat & Boehmer, Ekkehart & Jiang, Chao & Koch, Paul D., 2022. "Overnight returns, daytime reversals, and future stock returns," Journal of Financial Economics, Elsevier, vol. 145(3), pages 850-875.
  18. Tianyi Wang & Sicong Cheng & Fangsheng Yin & Mei Yu, 2022. "Overnight volatility, realized volatility, and option pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1264-1283, July.
  19. Mohrschladt, Hannes & Langer, Thomas, 2020. "Biased information weight processing in stock markets," Journal of Empirical Finance, Elsevier, vol. 57(C), pages 89-106.
  20. Gao, Ya & Han, Xing & Li, Youwei & Xiong, Xiong, 2021. "Investor heterogeneity and momentum-based trading strategies in China," International Review of Financial Analysis, Elsevier, vol. 74(C).
  21. Kelley Bergsma & Andy Fodor & Vijay Singal & Jitendra Tayal, 2020. "Option trading after the opening bell and intraday stock return predictability," Financial Management, Financial Management Association International, vol. 49(3), pages 769-804, September.
  22. Lachance, Marie-Eve, 2021. "ETFs’ high overnight returns: The early liquidity provider gets the worm," Journal of Financial Markets, Elsevier, vol. 52(C).
  23. Hendershott, Terrence & Livdan, Dmitry & Rösch, Dominik, 2020. "Asset pricing: A tale of night and day," Journal of Financial Economics, Elsevier, vol. 138(3), pages 635-662.
  24. Kim, Byungoh & Suh, Sangwon, 2021. "Overnight stock returns, intraday returns, and firm-specific investor sentiment," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
  25. Cosemans, Mathijs & Frehen, Rik, 2021. "Salience theory and stock prices: Empirical evidence," Journal of Financial Economics, Elsevier, vol. 140(2), pages 460-483.
  26. Ho, Hsiao-Wei & Hsiao, Yu-Jen & Lo, Wen-Chi & Yang, Nien-Tzu, 2023. "Momentum investing and a tale of intraday and overnight returns: Evidence from Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
  27. Saadon, Yossi & Schreiber, Ben Z., 2023. "Newspapers tone and the overnight-intraday stock return anomaly," Journal of Financial Markets, Elsevier, vol. 65(C).
  28. Júlio Lobão & Maria Eva Jerke, 2020. "Short-term Overreaction in American Depository Receipts," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 67(4), pages 423-435, December.
  29. Jian, Zhihong & Li, Xupei & Zhu, Zhican, 2020. "Sequential forecasting of downside extreme risk during overnight and daytime: Evidence from the Chinese Stock Market☆," Pacific-Basin Finance Journal, Elsevier, vol. 64(C).
  30. Kallinterakis, Vasileios & Karaa, Rabaa, 2023. "From dusk till dawn (and vice versa): Overnight-versus-daytime reversals and feedback trading," International Review of Financial Analysis, Elsevier, vol. 85(C).
  31. De Rossi, Giuliano & Steliaros, Michael, 2022. "The Shift from Active to Passive and its Effect on Intraday Stock Dynamics," Journal of Banking & Finance, Elsevier, vol. 143(C).
  32. Bai, Fan & Zhang, Yaqi & Chen, Zhonglu & Li, Yan, 2023. "The volatility of daily tug-of-war intensity and stock market returns," Finance Research Letters, Elsevier, vol. 55(PA).
  33. Qiu, Jiayan & Huang, Wei & Jiang, Ying, 2023. "When do they trade? Heterogeneous investors in China," Finance Research Letters, Elsevier, vol. 54(C).
  34. Adrian Zoicas‐Ienciu, 2021. "Evaluating active investing with generic trading reactions," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1018-1036, January.
  35. Insana, Alessandra, 2023. "Betting against beta with intraday and overnight signals," International Review of Financial Analysis, Elsevier, vol. 86(C).
  36. Feng Ma & M. I. M. Wahab & Julien Chevallier & Ziyang Li, 2023. "A tug of war of forecasting the US stock market volatility: Oil futures overnight versus intraday information," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(1), pages 60-75, January.
  37. Insana, Alessandra, 2022. "Does systematic risk change when markets close? An analysis using stocks’ beta," Economic Modelling, Elsevier, vol. 109(C).
  38. Yun‐Huan Lee & Tzu‐Hsiang Liao & Hsiu‐Chuan Lee, 2022. "Overnight returns of industry exchange‐traded funds, investor sentiment, and futures market returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(6), pages 1114-1134, June.
  39. Alex YiHou Huang & Ming-Che Hu & Quang Thai Truong, 2021. "Asymmetrical impacts from overnight returns on stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 56(3), pages 849-889, April.
  40. Dinesh Gajurel & Biplob Chowdhury, 2021. "Realized Volatility, Jump and Beta: evidence from Canadian Stock Market," Applied Economics, Taylor & Francis Journals, vol. 53(55), pages 6376-6397, November.
  41. Wang, Cheng & Bouri, Elie & Xu, Yahua & Zhang, Dingsheng, 2023. "Intraday and overnight tail risks and return predictability in the crude oil market: Evidence from oil-related regular news and extreme shocks," Energy Economics, Elsevier, vol. 127(PB).
  42. Albers, Stefan, 2023. "The fear of fear in the US stock market: Changing characteristics of the VVIX," Finance Research Letters, Elsevier, vol. 55(PA).
  43. Li, Yubin & Zhao, Chen & Zhong, Zhaodong (Ken), 2021. "Trading behavior of retail investors in derivatives markets: Evidence from Mini options," Journal of Banking & Finance, Elsevier, vol. 133(C).
  44. Wen, Zhuzhu & Bouri, Elie & Xu, Yahua & Zhao, Yang, 2022. "Intraday return predictability in the cryptocurrency markets: Momentum, reversal, or both," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
  45. Cynthia M. Gong & Di Luo & Huainan Zhao, 2021. "Liquidity risk and the beta premium," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 44(4), pages 789-814, December.
  46. Li, Zeming & Sakkas, Athanasios & Urquhart, Andrew, 2022. "Intraday time series momentum: Global evidence and links to market characteristics," Journal of Financial Markets, Elsevier, vol. 57(C).
  47. Barardehi, Yashar H. & Bernhardt, Dan & Da, Zhi & Mitch Warachka, Mitch, 2022. "Institutional Liquidity Demand and the Internalization of Retail Order Flow : The Tail Does Not Wag the Dog," The Warwick Economics Research Paper Series (TWERPS) 1394, University of Warwick, Department of Economics.
  48. Kotaro Miwa, 2020. "Market Closures and Cross-sectional Stock Returns," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(1), pages 1-33, March.
  49. Qiao, Kenan & Dam, Lammertjan, 2020. "The overnight return puzzle and the “T+1” trading rule in Chinese stock markets," Journal of Financial Markets, Elsevier, vol. 50(C).
  50. Bogousslavsky, Vincent, 2021. "The cross-section of intraday and overnight returns," Journal of Financial Economics, Elsevier, vol. 141(1), pages 172-194.
  51. Kang, Junqing & Lin, Shen & Xiong, Xiong, 2022. "What drives intraday reversal? illiquidity or liquidity oversupply?," Journal of Economic Dynamics and Control, Elsevier, vol. 136(C).
  52. Huang, Hong-Gia & Tsai, Wei-Che & Weng, Pei-Shih & Yang, J. Jimmy, 2023. "Intraday momentum in the VIX futures market," Journal of Banking & Finance, Elsevier, vol. 148(C).
  53. Baltussen, Guido & Da, Zhi & Lammers, Sten & Martens, Martin, 2021. "Hedging demand and market intraday momentum," Journal of Financial Economics, Elsevier, vol. 142(1), pages 377-403.
  54. Lu, Zhongjin & Malliaris, Steven & Qin, Zhongling, 2023. "Heterogeneous liquidity providers and night-minus-day return predictability," Journal of Financial Economics, Elsevier, vol. 148(3), pages 175-200.
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