An, Yahui; Huang, Lin; Li, Youwei - In: Journal of risk and financial management : JRFM 15 (2022) 11, pp. 1-20
should generate considerably higher rates of return than the risk-free rate. However, the overnight return anomaly in the … Chinese stock market, which refers to the anomaly that overnight return is significantly negative, contradicts the risk …-return trade-off. We find that this anomaly is asymmetrical, as the overnight return is significantly negative after a negative …