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A Revisit of the Cross-Section of Overnight and Intraday Abnormal Returns: Evidence from the Japanese REIT Market

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  • Jieting Chen
  • Yuichiro Kawaguchi

Abstract

This study revisits an overnight-intraday reversal strategy that generates an abnormal excess return for a stock market. The study is the first to examine whether abnormal returns related to size effect and investment effect occur overnight or intraday in the Japanese Real Estate Investment Trust (J-REIT) market. Empirical results show that in the J-REIT market, significant positive abnormal returns on investment effect as well as size effect occur intraday, followed by reversals that negative abnormal returns occur overnight. Further empirical results reveal that foreign institutional investors and individual investors trade against domestic institutional investors, and strengthen the asymmetric intraday and overnight abnormal returns. Therefore, we support the hypothesis that investor heterogeneity can explain the overnight-intraday anomaly. Moreover, the J-REIT market responds quickly and significantly to announcements from the Bank of Japan (BOJ). The information surprise caused by BOJ¡¯s announcements also intensifies the intraday and overnight abnormal returns in the J-REIT market.

Suggested Citation

  • Jieting Chen & Yuichiro Kawaguchi, 2018. "A Revisit of the Cross-Section of Overnight and Intraday Abnormal Returns: Evidence from the Japanese REIT Market," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(1), pages 46-63, January.
    • Handle: RePEc:ibn:ijefaa:v:10:y:2018:i:1:p:46-63
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    References listed on IDEAS

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    Cited by:

    1. Siddiqi, Hammad, 2022. "Asset Pricing in the Resource-Constrained Brain," MPRA Paper 120526, University Library of Munich, Germany, revised 05 Feb 2024.

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    More about this item

    Keywords

    overnight-intraday anomaly; investment effect; size effect; Japanese REIT market;
    All these keywords.

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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