Making Money While You Sleep? Anomalies in International Day and Night Returns

26 Pages Posted: 7 Oct 2015

See all articles by Kevin Aretz

Kevin Aretz

Alliance Manchester Business School

Söhnke M. Bartram

University of Warwick; Centre for Economic Policy Research (CEPR)

Multiple version iconThere are 2 versions of this paper

Date Written: October 7, 2015


In this paper, we decompose return premia into day and night components based on a sample of more than 48,000 stocks from 35 countries including the United States. Day returns are higher than night returns, but have similar volatility. Payoffs to value- or equally-weighted investment strategies based on size, book-to-market, momentum, long-term reversals, accruals, net share issuances, asset growth, and profitability tend to be positive for day returns, but negative or zero for night returns. Fama-MacBeth tests show that the well-known relationships between total returns and lagged firm characteristics are the result of their relationships with day returns, while their relationships with night returns are of opposite signs. While contemporaneous, independent work by Lou et al. (2015) also documents that U.S. price momentum occurs overnight, this result is the exception rather than the rule, since price momentum as well as most other anomalies are driven by day returns outside the United States. Results are robust across countries and subsamples, although there are variations in the magnitude of the strategy payoffs across countries.

Keywords: Overnight returns, asset pricing, return factors

JEL Classification: G3, F4, F3

Suggested Citation

Aretz, Kevin and Bartram, Söhnke M., Making Money While You Sleep? Anomalies in International Day and Night Returns (October 7, 2015). Available at SSRN: or

Kevin Aretz

Alliance Manchester Business School ( email )

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Söhnke M. Bartram (Contact Author)

University of Warwick ( email )

Warwick Business School
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Coventry, CV4 7AL
United Kingdom
+44 (24) 7657 4168 (Phone)
+1 425 952 1070 (Fax)


Centre for Economic Policy Research (CEPR) ( email )

United Kingdom

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