Asymmetrical impacts from overnight returns on stock returns
Sign Up to like & getrecommendations! Published in 2020 at "Review of Quantitative Finance and Accounting"
DOI: 10.1007/s11156-020-00911-y
Abstract: This paper documents significant relationship between overnight returns and future stock returns in the long-term where high averages of overnight returns lead to low future stock returns, with formation periods ranging from 1 month to 1 year.… read more here.
Keywords: overnight returns; future stock; variations overnight; returns lead ... See more keywords