야간수익률의 횡단면 주식수익률에 대한 예측력

다국어 초록 (Multilingual Abstract)

Purpose - This paper explores whether overnight returns measured from the last closing price to today’s opening price explain the cross-section of stock returns.
Design/methodology/approach - This study is conducted using the Korean stock market data from 1998 to 2018, obtained from DataGuide database. The analysis begins with portfolio-level tests, followed by firm-level cross-sectional regressions.
Findings - First, when decile portfolios sorted on the daily average of overnight returns in the previous months, the highest decile portfolio exhibits a significant negative risk-adjusted return. This suggests that stocks with higher average overnight returns are temporarily overvalued due to buying pressure from investors. Second, at least 6 months of persistence exists in average overnight returns, which is in line with the results reported by Barber, Odean and Zhu (2009) that investor sentiment persists over several weeks. Finally, Fama-MacBeth cross-sectional regression of expected returns after controlling for a variety of firm characteristic variables such as firm size, book-to-market ratio, market beta, momentum, liquidity, short-term reversal, the slope coefficient for overnight returns remains negative and statistically significant.
Research implications or Originality - Overall, the evidence consistently suggests that overnight return is considered as a new priced factor in the cross-section of expected returns. The findings of this paper not only adds to finance literature, but also could be useful to practitioners in making stock investment decision.

참고문헌 (Reference)

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2 최홍식, "투자자 관심과 주식수익률의 반전현상에 관한 연구: 코스닥시장을 중심으로" 한국재무관리학회 33 (33): 113-140, 2016

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