This paper provides a measurement of framing effects in the stock market by using actual market open trading data, and provide a test of this new firm-special behavioral characteristic. We adopt univariate and bivariate portfolio-level analyses with seminal rational and behavioral factors, to...

This paper evaluates how investor sentiment contributes to the explanation of idiosyncratic volatility from a firm-level perspective in the Chinese stock market. After constructing a comprehensive firm-specific investor sentiment (FSIS) index using principal component analysis, we find a...

Using overnight volatility as the proxy for overnight information, this paper models future Chinese stock market realized range-based volatility (RRV) within a class of heterogeneous autoregressive models augmented by this proxy. We confirm the important role of overnight information in...