"Paying attention: Overnight returns and the hidden cost of buying at t" by Henk Berkman, Paul D. Koch et al.
 

Title

Paying attention: Overnight returns and the hidden cost of buying at the open

Abstract

We find a strong tendency for positive returns during the overnight period followed by reversals during the trading day. This behavior is driven by an opening price that is high relative to intraday prices. It is concentrated among stocks that have recently attracted the attention of retail investors, it is more pronounced for stocks that are difficult to value and costly to arbitrage, and it is greater during periods of high overall retail investor sentiment. The additional implicit transaction costs for retail traders who buy high-attention stocks near the open frequently exceed the effective half spread.

Department(s)

Finance and General Business

Document Type

Article

DOI

https://doi.org/10.1017/S0022109012000270

Publication Date

8-1-2012

Journal Title

Journal of Financial and Quantitative Analysis

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