Overnight Return, the Invisible Hand Behind The Intraday Return? A Retrospective

17 Pages Posted: 25 Oct 2018

See all articles by Ben S. Branch

Ben S. Branch

University of Massachusetts Amherst - Isenberg School of Management

Aixin (James) Ma

Oklahoma City University - Meinders School of Business

Date Written: August 22, 2018

Abstract

In an effort to extend our study on the relationship between overnight and intraday returns, we expand the study horizon to include more recent, relatively “calm” market years. We find that the autocorrelation between overnight and intraday returns persisted among smaller stocks, but not for the S&P500. Such a relationship is monotonic in nature – the stronger the overnight return, the further the opposite direction of the intraday return tends to be. We also find evidence that the market has indeed become less volatile in recent years, and the market factor plays a more significant role in stock returns.

Keywords: anomaly, intraday return, overnight return, market efficiency

Suggested Citation

Branch, Ben S. and Ma, Aixin, Overnight Return, the Invisible Hand Behind The Intraday Return? A Retrospective (August 22, 2018). Available at SSRN: https://ssrn.com/abstract=3259614 or http://dx.doi.org/10.2139/ssrn.3259614

Ben S. Branch

University of Massachusetts Amherst - Isenberg School of Management ( email )

Room 201A
Amherst, MA 01003-4910
United States
413-545-5690 (Phone)
413-545-3858 (Fax)

Aixin Ma (Contact Author)

Oklahoma City University - Meinders School of Business ( email )

2501 North Blackwelder
Oklahoma City, OK 73106-1493
United States
405-208-5827 (Phone)

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