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How do investors react to overnight returns? Evidence from Korea
15 references·0 citing·50 second hop
How do investors react to overnight returns? Evidence from Korea (2023)How do investors react to overnight retur…The effects of overnight events on daytime trading sessions (2022)The effects of overnight even…Sentiment changes and the Monday effect (2022)Sentiment changes and the Mon…Sentiment and uncertainty (2022)Sentiment and uncertaintyOvernight returns, daytime reversals, and future stock returns: Is China different? (2022)Overnight returns, daytime re…Does the world smile together? A network analysis of global index option implied volatilities (2022)Does the world smile together…Discovering the drivers of stock market volatility in a data-rich world (2022)Discovering the drivers of st…Overnight returns, daytime reversals, and future stock returns (2021)Overnight returns, daytime re…Who moves the stock market in an emerging country – Institutional or retail investors? (2019)Who moves the stock market in…Time‐series momentum in China's commodity futures market (2019)Time‐series momentum in China…The impacts of public news announcements on intraday implied volatility dynamics (2019)The impacts of public news an…A tug of war: Overnight versus intraday expected returns (2019)A tug of war: Overnight versu…Do extreme returns matter in emerging markets? Evidence from the Chinese stock market (2016)Do extreme returns matter in …Are retail traders compensated for providing liquidity? (2016)Are retail traders compensate…Paying Attention: Overnight Returns and the Hidden Cost of Buying at the Open (2011)Paying Attention: Overnight R…The Dynamics of Institutional and Individual Trading (2003)The Dynamics of Institutional…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Information, Trading, and Volatility: Evidence from Firm-Specific News (2018)Market intraday momentum (2018)Salience theory and stock prices: Empirical evidence (2020)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Noise traders, mispricing, and price adjustments in derivatives markets (2019)The impact of net buying pressure on index options prices (2020)Does vega-neutral options trading contain information? (2021)Continuous Auctions and Insider Trading (1985)A Simple Model of Herd Behavior (1992)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)If global or local investor sentiments are prone to developing an impact on stock returns, is there an industry effect? (2020)Financial Literacy, Financial Advice, and Stock Market Participation: Evidence From Malaysia (2022)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)On Persistence in Mutual Fund Performance (1997)Intraday time series momentum: Global evidence and links to market characteristics (2021)Time series momentum in the US stock market: Empirical evidence and theoretical analysis (2022)Noise (1986)Do Investors Trade Too Much? (1999)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Investor sentiment and stock return volatility: Evidence from the Johannesburg Stock Exchange (2019)The democratization of investment research and the informativeness of retail investor trading (2021)The Irrelevance of Environmental, Social, and Governance Disclosure to Retail Investors (2023)The General Theory of Employment, Interest and Money. (1936)On the psychology of prediction. (1973)Dual effects of investor sentiment and uncertainty in financial markets (2024)Spillover between investor sentiment and volatility: The role of social media (2024)The impact of ESG performance on corporate sustainable growth from the perspective of carbon sentiment (2024)Risk, Return, and Equilibrium: Empirical Tests (1973)Noise Trader Risk in Financial Markets (1990)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns (2016)Stock return predictability and investor sentiment: A high-frequency perspective (2016)Asset Pricing: A Tale of Night and Day (2018)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)The obstinate passion of Foreign Exchange Professionals: \ntechnical analysis (2006)Caught on tape: Institutional trading, stock returns, and earnings announcements (2008)The Interim Trading Skills of Institutional Investors (2011)Advances in prospect theory: Cumulative representation of uncertainty (1992)Economic policy uncertainty and the Chinese stock market volatility: Novel evidence (2019)Idiosyncratic skewness, gambling preference, and cross-section of stock returns: Evidence from China (2019)Does retail investor attention improve stock liquidity? A dynamic perspective (2020)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Return Around the Clock: A Puzzle (2020)Border disputes, conflicts, war, and financial markets research: A systematic review (2023)The impact of climate policy uncertainty on ESG performance, carbon emission intensity and firm performance: evidence from Fortune 1000 firms (2023)
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References

  • 2003The Dynamics of Institutional and Individual Trading506 cited
  • 2019A tug of war: Overnight versus intraday expected returns326 cited
  • 2011Paying Attention: Overnight Returns and the Hidden Cost of Buying at the Open233 cited
  • 2016Are retail traders compensated for providing liquidity?219 cited
  • 2016Do extreme returns matter in emerging markets? Evidence from the Chinese stock market155 cited
  • 2022Sentiment and uncertainty118 cited
  • 2021Overnight returns, daytime reversals, and future stock returns98 cited
  • 2019The impacts of public news announcements on intraday implied volatility dynamics45 cited
  • 2019Who moves the stock market in an emerging country – Institutional or retail investors?37 cited
  • 2019Time‐series momentum in China's commodity futures market37 cited
  • 2022Sentiment changes and the Monday effect35 cited
  • 2022Does the world smile together? A network analysis of global index option implied volatilities26 cited
  • 2022The effects of overnight events on daytime trading sessions22 cited
  • 2022Overnight returns, daytime reversals, and future stock returns: Is China different?22 cited
  • 2022Discovering the drivers of stock market volatility in a data-rich world

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