Journal of Financial & Quantitative Analysis. Volume 53, Issue 2 April 2018

隔夜收益与公司的投资者情绪

作者：David Aboody (UCLA Anderson Graduate School of Management)

Omri Even-Tov (University of California Berkeley Haas School of Business)

Reuven Lehavy（University of Michigan Ross School of Business）

Brett Trueman（UCLA Anderson Graduate School of Management）

摘要：我们通过分析隔夜收益是否具备预期情绪特征，检验了利用隔夜收益来衡量某个公司的投资者情绪的合理性。我们发现短期隔夜受益的持续性，与前人关于受情绪影响的投资者股票需求的短期持续性的研究相一致。我们发现短期持续性在更难估值的公司中表现更强烈，与现存的情绪在这类公司的股价中作用更大的现存证据相一致。我们还发现长期来看高（低）隔夜收益的股票表现更差（更好），与前人发现的暂时情绪驱动的错误定价的证据相一致。总而言之，我们的证据支撑了用隔夜收益去衡量公司投资者情绪的合理性。

Overnight Returns and Firm-Specific Investor Sentiment

David Aboody (UCLA Anderson Graduate School of Management)

Omri Even-Tov (University of California Berkeley Haas School of Business)

Reuven Lehavy（University of Michigan Ross School of Business）

Brett Trueman（UCLA Anderson Graduate School of Management）

ABSTRACT

We examine the suitability of using overnight returns to measure firm-specific investor sentiment by analyzing whether they possess characteristics expected of a sentiment measure. We document short-term overnight-return persistence, consistent with existing evidence of short-term persistence in the share demand of sentiment-influenced investors. We find that short-term persistence is stronger for harder-to-value firms, consistent with existing evidence that sentiment plays a larger role for such firms. We show that stocks with high (low) overnight returns underperform (outperform) over the longer term, consistent with prior evidence of temporary sentiment-driven mispricing. Overall, our evidence supports using overnight returns to measure firm-specific sentiment.

原文链接: https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/overnight-returns-and-firmspecific-investor-sentiment/20DD2F7ABA4BBEB2C2327DDD51E10559

翻译：汪国颂