Abstract
AbstractWe contrast sentiment derived from social and news media to investigate its impact across 14 international markets. We find that heightened media sentiment during nontrading periods significantly affects the next day's opening returns even after accounting for the previous‐day activity. Markedly, only the US market exhibits strong reactions to social media, whereas other markets are more responsive to the news. We find that most variability in overnight returns is explained by sentiment aggregated 3 h before markets open. Our findings suggest that the overnight sentiment does not simply subsume previous‐day market activity but contains additional information that helps improve predictability in return forecasting models.
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