The nexus of overnight trend and asset prices in China
利用日内投资者结构的系统性变化，验证了信息缓慢扩散模型，发现隔夜收益而非总收益能预测未来收益，隔夜趋势强的公司下月表现更好，且该现象在信息不对称和估值不确定性高的股票中更显著。
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.