本篇研究檢測台灣市場中隔夜報酬率是否能夠成為一個新的投資人情緒代理指標。本文利用四個不同的檢測來驗證我們的推測，結果發現，在台灣市場中隔夜報酬率存在短期持續性的現象，且此持續性依照樣本公司之難以估價的程度有正向關係，此結果符合過去文獻描述一個投資人情緒代理指標會有的特性，另外我們發現短期隔夜報酬率高的公司股票長期表現反而較差，反映出了暫時性的訂價錯誤，最後我們實際應用隔夜報酬率來解釋公司月盈餘宣告次數與投資人情緒的關聯，發現兩者呈現正向關係。綜合上述結果，我們發現在台灣市場中，隔夜報酬率能夠反映出投資人情緒的變化。

This paper examines whether overnight returns in the Taiwan stock market can become a new investor sentiment proxy. This paper uses four different tests to verify our conjecture. The results show that there is a short-term persistence in the overnight return in the market, and this persistence has a positive relationship according to the degree to which the firm is difficult to value. This result is consistent with the past literature which describe the characteristics of an investor sentiment proxy. We also find that stocks with high overnight returns underperform over the longer term, reflecting a temporary mispricing. Finally, we use overnight return to explain the relationship between the number of monthly earnings announcements and investor sentiment, and we found a positive relationship between the two variables. Based on the above results, we found that in the Taiwan stock market, overnight returns can reflect changes in investor sentiment.

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