The Predictability of Overnight Information

The Predictability of Overnight Information

By decomposing close to close returns into close to open returns (overnight returns) and open to close returns (daytime returns), we test the predictability of overnight information, which is captured by absolute values of close to open returns, on daytime return volatility. Applying the stochastic...

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Bibliographic Details
Main Author: ZHONG, Zhuo
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2007
Subjects:
inactive stocks
overnight information shocks
return on investment
securities analysis
stock exchanges
Portfolio and Security Analysis
Online Access:https://ink.library.smu.edu.sg/etd_coll/46
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1045&context=etd_coll
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/etd_coll/46
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1045&context=etd_coll

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