Paying Attention: Overnight Returns and the Hidden Cost of Buying at the Open

By H. Berkman, Paul D. Koch, Laura A. Tuttle, Ying Zhang. Journal of Financial and Quantitative Analysis, 2012

184 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ff64bccbd678828e4a83fb0304e8e15148ef67a6

Citations in the corpus

• Overnight Returns and Firm-Specific Investor Sentiment (2018, unknown): “…9 625,604 0.47% 0.40% 0.40% 0.35% 10 (Highest) 625,023 0.61% 0.48% 0.50% 0.42% (10)− (1) 0.26% 0.11% 0.15% 0.06% t -statistic 4.1 1.9 3.0 0.8 of Berkman et al. (2012).8 In their paper, Berkman et al. (2012) compute overnight returns using the midpoint of the last valid bid and ask quotes…”
• Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns (2014, unknown): “(2008), and Berkman et al. (2012) also document distinctly different return patterns during trading and non-trading hours. (6)This contrasts with the recent results in Frazzini and Pedersen (2014), which report an almost flat security market line and highly significant positive CAPM alphas for portf”