We examine the role of the disposition effect in market efficiency following the arrival of private signals to a small group of informed traders. Subjects trade an ambiguous asset via a computer-based double auction. Using a 2x2x2 design, we endow two types of signal, i.e., positive vs....

The focus of the paper is to examine the relative importance of overnight sentiment versus trading-hours’ sentiment in forecasting volatility. In previous studies on investor sentiment, either overnight sentiment is ignored, or overnight sentiment and trading-hours’ sentiment are aggregated....