This project forked from yl5511/overnight-return-and-investor-sentiment
•计算股票周ONR，每周按照ONR从低到高划分为10组，比较第一组和第十组的累积收益率、市值、波动率和P/E • 计算每周每组股票未来四周的收益率，发现第一组ONR始终显著高于第四组，具有短期持续性，可作为情绪因子 • 通过市值等将公司分成四类，比较ONR发现，公司越难估值（市值小，波动率大，P/E高），股票ONR越大 • 每年6月和12月根据当月ONR建仓并持仓6个月，通过三因子模型计算超额收益率说明隔夜收益率具有超额收益率
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