Financial Management (Wiley-Blackwell). Autumn2013, Vol. 42 Issue 3, p503-516. 14p.

作者：Kim, Sukwon Thomas (A. Gary Anderson Graduate School of Management, University of California in Riverside）

摘要：我证明了零投资交易策略——买入隔夜回报低于市场平均的股票同时卖出隔夜回报高于市场平均的股票，能够赚取超过1%的月度收益。在此之后，我证明了相较于其他股票，对于交易更快的股票而言，该收益更高。这些结果都控制了交易成本。所产生的定价误差是股票价格波动性的实质性部分，而且对于隔夜信息的快速反应增加了股票价格的非基于信息的波动性。

The Timing of Opening Trades and Pricing Errors.

Kim, Sukwon Thomas (A. Gary Anderson Graduate School of Management, University of California in Riverside)

ABSTRACT

After demonstrating that a zero investment trading strategy that buys stocks with overnight returns below the market average and sells stocks with overnight returns above the market average earns more than 1% monthly profit, I demonstrate that this profit is greater for stocks that start trading more quickly than for other stocks. These results control for trading costs. The resulting pricing errors are a material portion of stock price volatility and suggest that a quick response to overnight information adds non-information-based stock volatility to stock prices.

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http://web.a.ebscohost.com/ehost/pdfviewer/pdfviewer?sid=72c7b27c-045c-4c8d-a71a-5c04ffc1dd13%40sessionmgr4007&vid=7&hid=4206

翻译：孙雨琦