The Cross-Section of Intraday and Overnight Returns

45 Pages Posted: 16 Nov 2016 Last revised: 22 Nov 2017

Vincent Bogousslavsky

Boston College - Department of Finance

Date Written: November 21, 2017

Abstract

This paper documents substantial cross-sectional variation in average stock returns over the trading day and overnight. Small stocks perform well near the close, while large stocks perform poorly. The evidence differs from a benchmark based on random portfolios and supports theories based on institutional effects and information asymmetry. These theories, however, do not fully explain the cross-sectional patterns. Portfolios formed on beta and idiosyncratic volatility earn returns gradually throughout the trading day but tend to incur large negative returns overnight, consistent with mispricing at the open.

Keywords: Intraday Returns, Overnight Returns, Asset Pricing Anomalies, Liquidity

JEL Classification: G10, G12, G14

Suggested Citation

Bogousslavsky, Vincent, The Cross-Section of Intraday and Overnight Returns (November 21, 2017). Available at SSRN: https://ssrn.com/abstract=2869624 or http://dx.doi.org/10.2139/ssrn.2869624

Vincent Bogousslavsky (Contact Author)

Boston College - Department of Finance ( email )

Carroll School of Management
140 Commonwealth Avenue
Chestnut Hill, MA 02467-3808
United States

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