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Overnight Returns: An International Sentiment Measure

Weißofner, Florian ; Wessels, Ulrich



Abstract

The suitability of overnight returns as a firm-specific investor sentiment measure, previously found in the United States, is similarly present in international equity markets. This delivers a completely novel approach to measure investor sentiment at the firm level. For applicability reasons overnight returns have to fulfill 3 characteristics that would be expected of a sentiment measure. First, ...

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