Overnight Sentiment and the Intraday Return Dynamics

Overnight and seasonality effects or analysis of sentiment are favorite themes in quantitative academic research. Novel and very recent research from Baoqing Gan, Vitali Alexeev, and Danny Yeung (August 2022) presents us with an opportunity to discover new findings related to both these phenomena. The main takeaway is that the accumulated sentiment from the overnight non-trading period can predict the next period’s intraday stock return.

https://quantpedia.com/overnight-sentiment-and-the-intraday-return-dynamics/

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Quantpedia

Quantpedia

Quantpedia.com — The Encyclopedia of Quantitative and Algorithmic Trading Strategies