We explore the possibility that overnight returns can serve as a measure of firm-specific investor sentiment by analyzing whether they exhibit characteristics expected of a sentiment measure. First, we document short-term persistence in overnight returns, consistent with existing evidence of...

The relative importance of country- and industry-specified factors vis-à-vis company-specific financial-statement-based information in explaining equity valuation multiples in an international setting is examined. Both country-specific effects via previously identified variables and an...