The Center for Applied Research in Finance (CARF) is pleased to share that our Lead Researcher, Dr. Hulusi Bahcivan, has published a new research article in the Journal of Behavioral and Experimental Finance. The paper, titled “Dark Side of the Day: Overnight Price Jumps and Short-Term Return Predictability,” is co-authored with Dr. Halit Gonenc and Dr. Lammertjan Dam from the University of Groningen.
The study investigates how investors react to rare but economically significant overnight information shocks by isolating overnight price jumps from ordinary return fluctuations. Analyzing thousands of overnight jump events across 9,283 U.S. stocks over nearly three decades, the authors find evidence consistent with investor overreaction. While markets initially overreact to overnight news, stock prices partially reverse in the subsequent period. The findings also show that these dynamics become difficult to detect when jump and non-jump observations are analyzed together, highlighting the importance of distinguishing between different types of return movements.
We congratulate Dr. Bahcivan and his co-authors on this achievement and their contribution to the finance literature.
The paper is available at the following link: https://www.sciencedirect.com/science/article/pii/S2214635026000821?via%3Dihub
