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- W2981567072 abstract "The suitability of overnight returns as a firm-specific investor sentiment measure, previously found in the United States, is similarly present in international equity markets. This delivers a completely novel approach to measure investor sentiment at the firm level. For applicability reasons overnight returns have to fulfill 3 characteristics that would be expected of a sentiment measure. First, overnight returns persist in the short run; second, this persistence is stronger among harder-to-value firms; and third, stocks with high overnight returns underperform in the long run. Implementing this novel sentiment measure on a common anomaly, the authors find explanatory power even beyond a market-wide sentiment measure." @default.
- W2981567072 created "2019-11-01" @default.
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- W2981567072 date "2019-10-21" @default.
- W2981567072 modified "2023-09-26" @default.
- W2981567072 title "Overnight Returns: An International Sentiment Measure" @default.
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- W2981567072 doi "https://doi.org/10.1080/15427560.2019.1663855" @default.
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