What Drives Momentum and Reversal? Evidence from Day and Night Signals

New Avenues in Expected Returns: Investor Overreaction and Overnight Price Jumps in US Stock Markets

“…This choice is also compatible with the informational contents in a complete day cycle in the sense that firm specific news is generally disclosed after closing bell and priced in largely by individual investors as trading commences in the next morning (Lou et al (2019)). Moreover, it is a documented fact that main driving force of overnight returns is the information available to market participants (Jones et al (1994); Barclay and Hendershott (2003); Barardehi et al (2022) among others). Though not in the line of price jumps, another recent study due to Atilgan et al (2020) evinces that investors do not optimally interpret the content of negative news and underreact to it.…”

The underlying coherent behavior in intraday dynamic market equilibrium

“…The momentum, reversal and mean-reverting effects identified above are usually over months, weeks and overnight (Lou et al ., 2019; Gao et al ., 2021; Barardehi et al ., 2022) [2]. Recently, Gao et al .…”

“…This paper contributes to several current literature frontiers, such as intraday momentum, reversal and interaction in social finance. However, the main contribution is to reply to the underlying coherent behavior in a new unified paradigm [6] in which traders' momentum (Xu, 2016; Gao et al ., 2018; Yang, 2022), reversal (Wang et al ., 2011; Barardehi et al ., 2022) and interactive behaviors (Shi et al ., 2021; Liang et al ., 2022) play roles in intraday dynamic market equilibrium without imposing the invariance criterion of rational choice (Kahneman and Tversky, 1984; Sunstein et al ., 2001). It uncovers subjects' intelligent, interactively coherent behaviors in social finance (Hirshleifer, 2020), which contrast rationally consistent preferences in standard economic textbooks today (Mas-Colell et al.…”