Investor sentiment and stock market returns: a story of night and day
研究了30个国际股市中投资者情绪对隔夜和日内回报的影响，发现情绪与回报负相关且日内更强，隔夜交易者更理性，跨市场差异受文化和市场诚信影响。
Some financial relations have been confirmed to be different overnight and intraday due to different clienteles.In this paper, we assess the impact of investor sentiment on stock market returns in 30 international stock markets overnight and intraday.At the global level, empirical evidence reveals a negative sentiment-return relation in both non-trading and trading hours, and the relation is stronger intraday than overnight, indicating that overnight traders are more rational than intraday traders.The separation between developed and emerging markets does not distort the negative relation or the stronger impact intraday.At the individual market level, results reveal a high degree of heterogeneity in the sentiment-return relation, in terms of both influence direction and magnitude.The heterogeneity can be explained by cross-market differences in cultural dimensions and market integrity, and notably, such influence varies across night and day, suggesting that the influence of the two aspects may be more complex than we used to theorize and therefore, future studies applying the cross-market analytical framework may take different clienteles into account.