What can we learn from overnight and intraday returns?
Doctoral Thesis
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| Định dạng: | Dissertation |
| Ngôn ngữ: | en_US |
| Được phát hành: |
National Chiao Tung University
2023
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| Những chủ đề: | |
| Truy cập trực tuyến: | https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/115602 |
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| Thư viện lưu trữ: | Thư viện Trường Đại học Đà Lạt |
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oai:scholar.dlu.edu.vn:DLU123456789-115602 |
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oai:scholar.dlu.edu.vn:DLU123456789-1156022023-10-05T16:56:54Z What can we learn from overnight and intraday returns? 隔夜與日內報酬互動之意涵 Trương, Quang Thái Huang, Yi-Hou Liang, Woan-Lih Overnight return Intraday return Doctoral Thesis Over the past decade, many studies have shown a constant struggle between overnight and intraday returns and the importance of investor heterogeneity in asset pricing. This study provides new insights into these issues by introducing a novel way to capture this struggle's information content. By examining the daily oscillation of overnight and intraday returns, we find that the struggle is associated with market frictions which hinder investors from trading stocks like the limits of arbitrage and information shocks. In addition, using the information content of this struggle can earn a significant abnormal return in the future. The results are robust across alternative tests, including single stock and portfolio approaches. Finally, including the information content of overnight and intraday returns into current asset pricing models provides a better explanation for the idiosyncratic volatility and maximum daily return (MaxRet) puzzles. 2023-04-10T05:37:41Z 2023-04-10T05:37:41Z 2021 Dissertation https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/115602 en_US application/pdf National Chiao Tung University |
| institution |
Thư viện Trường Đại học Đà Lạt |
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Thư viện số |
| language |
en_US |
| topic |
Overnight return Intraday return |
| spellingShingle |
Overnight return Intraday return Trương, Quang Thái What can we learn from overnight and intraday returns? |
| description |
Doctoral Thesis |
| author2 |
Huang, Yi-Hou |
| author_facet |
Huang, Yi-Hou Trương, Quang Thái |
| format |
Dissertation |
| author |
Trương, Quang Thái |
| author_sort |
Trương, Quang Thái |
| title |
What can we learn from overnight and intraday returns? |
| title_short |
What can we learn from overnight and intraday returns? |
| title_full |
What can we learn from overnight and intraday returns? |
| title_fullStr |
What can we learn from overnight and intraday returns? |
| title_full_unstemmed |
What can we learn from overnight and intraday returns? |
| title_sort |
what can we learn from overnight and intraday returns? |
| publisher |
National Chiao Tung University |
| publishDate |
2023 |
| url |
https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/115602 |
| _version_ |
1779411300322902016 |