Overnight Returns" + "Intraday Returns

Our hypothesis is that the smoothed past overnight minus intraday return spread should positively forecast subsequent returns of strategies whose average

We decompose the abnormal profits associated with well-known patterns in the cross- section of expected returns into their overnight and intraday components. We

Lou Polk, and Skouras (2017) document firm level reversal patterns between intraday and overnight returns: overnight (intraday) returns predict subsequent

Indeed, the smoothed spread between the overnight and intraday return components of a strategy generally forecasts time variation in that strategy's close-to

Our prediction is that the past overnight minus intraday spread should positively forecast subsequent returns on stocks whose average returns accrue primarily

This implies an intraday return reversal, as has been doc- umented by Berkman et al. (2012 In decile 5, the two returns are of opposite signs, again

Dec 21, 2016 Overnight trade-based returns are computed using the the first transaction price and the daily CRSP return adjusted for delisting returns

Christopher Polk is a Professor of Finance at the London School of Economics and Political Science and Director of the Financial Markets Group

Regarding (1 your article buries the lede as deeply as you possibly can. Compare the plot of overnight and intraday returns to

“News mostly drive overnight returns, whereas investors' trading mostly drives intraday returns Can you perform direct test? Test 1: Combine post-2000

Jul 8, 2025 Several research studies and accounts in the popular press have reported that overnight gains in the U.S. stock market outstrip intraday returns

We sort stocks each month based on median NYSE market capitalization. We find that overnight returns to the momentum strategy are actually stronger for large

Second, we analyze intraday trading patterns by arbitrageurs studied in prior work, which further support the overcorrection hypothesis. Arbitrageurs who trade

most of the abnormal returns on momentum strategies tend to occur overnight, while the abnormal returns on other strategies primarily oc- cur intraday. 37

Over the last few decades, the overnight and intraday returns of the American market exhibit strange behavior, considering that the highest share of returns

Interestingly, the decreasing trend in total volatility that received so much public attention recently is due to the decline in intraday, rather than overnight

Jun 20, 2022 So, yes, the overnight versus intraday return of the S&P 500 is quite unexpected. 6 While the standard deviation of overnight returns from 1993

Dec 24, 2022 Aggregate stock returns appear to be higher during overnight trading hours than intraday trading hours. This could be due to retail investors

This placebo test estab- lishes that only the sequence of intraday reversals in which daytime arbitrageurs respond to positive overnight returns leads to the

Jul 5, 2022 The empirical results show that ESG score has a significantly negative effect on the expected stock overnight returns in Fama–MacBeth regression