This study investigates the association between overnight and daytime-trading session returns in U.S. equity markets over the last 14 years and interprets it using the overreaction hypothesis. To identify the effects of overnight overreactions on daytime trading sessions, we control for daily investor sentiment, firms' fundamental variables, and risk factors. Our results suggest that investors tend to overreact overnight and react more dispassionately during daytime trading sessions. Investors' reactions differ across sectors, and the degree of overreaction is greater in cyclical industries than in defensive industries. Additionally, we analyze the impacts of overnight reactions on daytime trading sessions focusing on recession periods. The impacts differ by subperiods and are pronounced during the Global Financial Crisis and the onset of the COVID-19 pandemic. Investors' reactions to overnight news events also respond differently to demand and supply shock-induced recessions.

本研究调查了过去 14 年美国股票市场的隔夜和日间交易时段收益之间的关联，并使用过度反应假设对其进行解释. 为了确定隔夜过度反应对日间交易时段的影响，我们控制了每日投资者情绪、公司的基本变量和风险因素。我们的研究结果表明，投资者往往在一夜之间反应过度，而在日间交易时段反应更为冷静。投资者的反应因行业而异，周期性行业的过度反应程度大于防御性行业。此外，我们分析了隔夜反应对日间交易时段的影响，重点是衰退期。影响因子时期而异，并且在全球金融危机和 COVID-19 大流行爆发期间表现得更为明显。投资者对隔夜新闻事件的反应对需求和供应冲击引发的衰退也有不同的反应。