The Cross-Section of Intraday and Overnight Returns
47 Pages Posted: 16 Nov 2016 Last revised: 7 Jun 2018
Date Written: May 23, 2018
This paper documents substantial cross-sectional variation in average stock returns over the trading day and overnight. Portfolios such as size and illiquidity earn their returns near the close. In contrast, portfolios such as idiosyncratic volatility and profitability earn their returns gradually throughout the day. These patterns differ from that of the market and a benchmark based on randomly-formed portfolios. I find support for theories based on institutional effects and information asymmetry, though substantial puzzles remain. Overall, this paper suggests that intraday patterns can provide useful information about asset pricing anomalies.
Keywords: Intraday Returns, Overnight Returns, Asset Pricing Anomalies, Liquidity
JEL Classification: G10, G12, G14
Suggested Citation: Suggested Citation