shanghaibaba 写了： 31 12月 2023, 20:17我前阵子看了一篇文章，是还没发表的working paper 叫 What Drives Momentum and Reversal? Evidence from Day and Night Signals. google搜这个标题然后在ssrn里面down就行。这篇文章有个非常有趣的empirical 观测现象，就是：如果用intraday return，（也就是晚闭市的股价减去早开始的股价算出的return）那么momentum effect strategy会非常好。如果只用 overnight return，（也就是今天早开市的股价减去昨天晚闭市的股价算出的return）那么reversal effect strategy 会非常好。
这篇文章给出的解释是：白天大家都瞎jb跟风买，只有晚上才坐下来思考并吸收消化信息。
哈哈，有道理
下载了，谢谢！
shanghaibaba 写了： 31 12月 2023, 20:17我前阵子看了一篇文章，是还没发表的working paper 叫 What Drives Momentum and Reversal? Evidence from Day and Night Signals. google搜这个标题然后在ssrn里面down就行。这篇文章有个非常有趣的empirical 观测现象，就是：如果用intraday return，（也就是晚闭市的股价减去早开始的股价算出的return）那么momentum effect strategy会非常好。如果只用 overnight return，（也就是今天早开市的股价减去昨天晚闭市的股价算出的return）那么reversal effect strategy 会非常好。
这篇文章给出的解释是：白天大家都瞎jb跟风买，只有晚上才坐下来思考并吸收消化信息。
谢谢分享
第四章最有意思
| Consideration | Momentum Effect Strategy | Reversal Effect Strategy |
|---|---|---|
| Time Horizon | Short to Medium-Term | Medium to Long-Term |
| Focus on News or Trading-Related Moves | Trading-Related Moves (Intraday) | News-Related Moves (Overnight) |
| Return Pattern | Positive Short-Term Momentum | Long-Term Reversal |
| Underlying Mechanism | Underreaction to Other Investors' Trades | Delayed Overreaction or Over-Extrapolation to News |
| Portfolios Formation | Portfolios formed on Past Intraday Returns | Portfolios formed on Past Overnight Returns |
| Analyst Expectations | Positively Associated with Analyst Forecast Errors | No Significant Relationship with Analyst Expectations |
| Market Conditions | Stronger on Low Volume Days (Inattention Channel) | Evidence of Profitability in Different Market Conditions |
| Robustness Checks | Robust Across Different Time Horizons | Robust Across Various Robustness Checks |
| Market Phases | Suitable in Markets with Active Trading and Intraday Information | Suitable for Events Driven by Overnight News |
过度盯盤反受其乱
还没细读，先给它帮我摅一下 
海宝宝去哪了