Paying Attention: Overnight Returns and the Hidden Cost of Buying at the Open
研究发现股票在隔夜时段有正收益，随后在交易日反转，原因是开盘价高于盘中价。这种现象集中在近期吸引零售投资者关注的股票中，对难以估值和套利成本高的股票更明显，且在高零售投资者情绪时期更显著。零售投资者在开盘附近买入高关注股票的隐性交易成本常超过有效半价差。
Abstract We find a strong tendency for positive returns during the overnight period followed by reversals during the trading day. This behavior is driven by an opening price that is high relative to intraday prices. It is concentrated among stocks that have recently attracted the attention of retail investors, it is more pronounced for stocks that are difficult to value and costly to arbitrage, and it is greater during periods of high overall retail investor sentiment. The additional implicit transaction costs for retail traders who buy high-attention stocks near the open frequently exceed the effective half spread.