The timing of opening trades and pricing errors.

• Autores: Sukwon Thomas Kim
• Localización: Financial management, ISSN 0046-3892, Vol. 42, Nº 3, 2013, págs. 517-536
• Idioma: inglés
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• Resumen

  • After demonstrating that a zero investment trading strategy that buys stocks with overnight returns below the market average and sells stocks with overnight returns above the market average earns more than 1% monthly profit, I demonstrate that this profit is greater for stocks that start trading more quickly than for other stocks. These results control for trading costs. The resulting pricing errors are a material portion of stock price volatility and suggest that a quick response to overnight information adds non-information-based stock volatility to stock prices. [ABSTRACT FROM AUTHOR]