Stock price delay and the cross-section of expected returns: A story of night and day

被引:0
作者
Yang, Ge [1 ]
Yin, Ximing [2 ]
机构
[1] Univ Int Business & Econ, Business Sch, 10 Huixin East St, Beijing 100029, Peoples R China
[2] Hunan Univ, Coll Finance & Stat, 109 Shijiachong Rd, Changsha 410006, Peoples R China
基金
中国国家自然科学基金;
关键词
Information delay; Night beta; Cross-sectional expected return; Market friction; Asynchronous beta; Market efficiency; RISK; EQUILIBRIUM; MODEL; ILLIQUIDITY;
D O I
10.1016/j.iref.2024.103669
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We examine how individual stock price reacts to intraday and overnight market information. By examining stock betas, we document a stark gap between day beta and night beta and nontrivial asynchronous beta, which captures the slow diffusion of information. We provide evidence that this information delay can predict future stock returns over a one-month period. Long-short portfolios sorted on the gap between day beta and night beta and asynchronous beta generate raw returns of 0.8% and 0.39% and risk-adjusted alphas of 0.77% and 0.28% per month. These results are robust to alternative asset pricing models and when controlling for firm characteristics, such as size, book-to-market ratios, liquidity, investor recognition and limits-to-arbitrage characteristics. We also explore the heterogeneity of the information delay premium and find that the predictive power of information delay for future return is stronger among small, value firms, less visible firms, illiquid firms and firms with higher limit-to-arbitrage. We further provide evidence that our measure of price delay indeed offers incremental information for cross-section return prediction after we explicitly control for the conventional measure of Hou and Moskowitz (2005)'s price delay.
引用
收藏
页数:25
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