원문정보
초록
영어
This paper examines the dynamics between overnight noise traders and daytime arbitrageurs, measured by AB_NR from Akbas et al. (2022), which significantly differ in the predictability of future stock returns with the degree of nearness to 52-week high prices. We show that if stock prices are far from the 52-week highs, there is a perception of greater potential for price increases, leading to tremendous upward pressure on prices by overnight noise traders. As a result, daytime arbitrageurs overcorrect, leading to high AB_NR stocks being undervalued and offering the potential for increased future returns. On the other hand, for stocks near the 52-week highs, overnight noise traders perceive less room for growth and exert less pressure on prices. This results in less overcorrection by daytime arbitrageurs, leading to high AB_NR stocks being less undervalued and offering weaker return predictability. Our findings provide a fresh perspective on the psychological barrier of investors during intense tug-of-war.
목차
1. Introduction
2. Data and Variables
3. Empirical Results
3.1. Intense tug-of-war and the nearness to the 52-week high
3.2. Fama and Macbeth (1973) cross-sectional regression
3.3. Time-varying of intense tug-of-war and the nearness to the 52-week high
4. Conclusion
References
Table
Appendix