The overnight gap return on the earnings announcement day reflects the market's immediate emotional reaction to the earnings announcement. A positive gap (i.e., a positive factor value) usually implies that the market interprets the earnings results as exceeding expectations, which may lead to an increase in buying and a rise in stock prices; a negative gap (i.e., a negative factor value) implies that the market interprets the earnings results as falling short of expectations, which may lead to an increase in selling and a fall in stock prices. Therefore, this factor can be used as an indicator to measure the market's sensitivity to earnings announcement information and to assist in identifying short-term fluctuations in stock prices caused by earnings announcements.