The Timing of Opening Trades and Pricing Errors
研究发现买入隔夜回报低于市场均值的股票、卖出高于市场均值的股票，每月可获超1%利润，且开盘交易越快的股票利润越大，这种定价错误是股价波动的重要来源。
After demonstrating that a zero investment trading strategy that buys stocks with overnight returns below the market average and sells stocks with overnight returns above the market average earns more than 1% monthly profit, I demonstrate that this profit is greater for stocks that start trading more quickly than for other stocks. These results control for trading costs. The resulting pricing errors are a material portion of stock price volatility and suggest that a quick response to overnight information adds non‐information‐based stock volatility to stock prices.