Berkman, Henk; Koch, Paul D.; Tuttle, Laura; Zhang, … - In: Journal of Financial and Quantitative Analysis 47 (2012) 04, pp. 715-741
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...