Overnight returns, daytime reversals, and anchoring bias

This study explores the impact of anchoring bias on the daily tug-of-war in financial markets, specifically examining the reversal dynamics between overnight and daytime periods in relation to the 52-week high price. After analysing the interplay between anchoring bias and the abnormal intensity of the tug-of-war (AB_NR), our findings reveal a significant AB_NR premium for stocks far from their 52-week high prices. This sheds light on the important role of psychological barriers faced by noise investors during overnight periods in shaping return dynamics.