This paper examines whether overnight returns in the Taiwan stock market can become a new investor sentiment proxy. This paper uses four different tests to verify our conjecture. The results show that there is a short-term persistence in the overnight return in the market, and this persistence has a positive relationship according to the degree to which the firm is difficult to value. This result is consistent with the past literature which describe the characteristics of an investor sentiment proxy. We also find that stocks with high overnight returns underperform over the longer term, reflecting a temporary mispricing. Finally, we use overnight return to explain the relationship between the number of monthly earnings announcements and investor sentiment, and we found a positive relationship between the two variables. Based on the above results, we found that in the Taiwan stock market, overnight returns can reflect changes in investor sentiment.