The nexus of overnight trend and asset prices in China

IF 1.9 3区 经济学 Q2 ECONOMICS
Jiaqi Guo , Xing Han , Kai Li , Youwei Li
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引用次数: 0

Abstract

Leveraging the systematic variations in investor clientele within a day, we validate an adapted version of the Hong and Stein (1999) model that addresses the consequences of slow information diffusion in China. The model predicts that overnight returns, rather than total returns, strongly forecast future returns, as informed overnight clientele underreact to value-relevant signals. Empirically, we establish a consistent overnight trend phenomenon: Firms with a strong overnight trend reliably outperform those with a weak overnight trend in the subsequent month. The phenomenon is more pronounced among stocks with higher levels of information asymmetry, valuation uncertainty, and relative mispricing. Furthermore, the overnight trend predicts positively firm fundamentals in the cross section.
隔夜趋势与中国资产价格的关系
利用投资者客户在一天内的系统性变化,我们验证了Hong和Stein(1999)模型的一个改编版本,该模型解决了中国信息扩散缓慢的后果。该模型预测,隔夜收益(而非总收益)能强烈预测未来收益,因为知情的隔夜客户对价值相关信号反应不足。从经验上看,我们建立了一个一致的隔夜趋势现象:具有强劲隔夜趋势的公司在接下来的一个月的表现确实优于那些隔夜趋势较弱的公司。这种现象在信息不对称、估值不确定性和相对错误定价水平较高的股票中更为明显。此外,隔夜走势预示着横截面上积极稳固的基本面。
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来源期刊
CiteScore
3.10
自引率
10.50%
发文量
199
期刊介绍: The journal provides an outlet for publication of research concerning all theoretical and empirical aspects of economic dynamics and control as well as the development and use of computational methods in economics and finance. Contributions regarding computational methods may include, but are not restricted to, artificial intelligence, databases, decision support systems, genetic algorithms, modelling languages, neural networks, numerical algorithms for optimization, control and equilibria, parallel computing and qualitative reasoning.
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