Overnight Returns and Firm-Specific Investor Sentiment
研究了用隔夜收益衡量公司特定投资者情绪的可行性，发现短期隔夜收益具有持续性，且对难以估值的公司更明显，长期存在反转，支持其作为情绪指标。
We examine the suitability of using overnight returns to measure firm-specific investor sentiment by analyzing whether they possess characteristics expected of a sentiment measure. We document short-term overnight-return persistence, consistent with existing evidence of short-term persistence in the share demand of sentiment-influenced investors. We find that short-term persistence is stronger for harder-to-value firms, consistent with existing evidence that sentiment plays a larger role for such firms. We show that stocks with high (low) overnight returns underperform (outperform) over the longer term, consistent with prior evidence of temporary sentiment-driven mispricing. Overall, our evidence supports using overnight returns to measure firm-specific sentiment.