Overnight stock returns, intraday returns, and firm-specific investor sentiment
- Authors
- Kim, Byungoh; Suh, Sangwon
- Issue Date
- Jan-2021
- Publisher
- Elsevier Inc.
- Keywords
- Intraday return; Investor sentiment; Momentum; Overnight return; Short-term reversal
- Citation
- North American Journal of Economics and Finance, v.55
- Journal Title
- North American Journal of Economics and Finance
- Volume
- 55
- URI
- https://scholarworks.bwise.kr/cau/handle/2019.sw.cau/43633
- DOI
- 10.1016/j.najef.2020.101287
- ISSN
- 1062-9408
1879-0860
- 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. © 2020 Elsevier Inc.
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Collections - College of Business & Economics > School of Economics > 1. Journal Articles
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