The Overnight Drift

• 成果类型: Article
• 署名作者: Boyarchenko, Nina; Larsen, Lars C.; Whelan, Paul
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York; Center for Economic & Policy Research (CEPR); Copenhagen Business School
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhad020
• 发表日期: 2023
• 页码: 3502
• 关键词: cross-section; MARKET; liquidity; STOCK; inventories; DYNAMICS; Intraday; RISK; FLOW

摘要

This paper documents that U.S. equity returns are large and positive during the opening hours of European markets. These returns are pervasive and highly economically and statistically significant. Consistent with models of inventory risk, we demonstrate a strong relationship with order imbalances at the close of the preceding U.S. trading day. Rationalizing unconditionally positive overnight drift returns, we uncover an asymmetric reaction to demand shocks: market sell-offs generate robust positive overnight reversals, while reversals following market rallies are much more modest. We argue that demand shock asymmetry can arise in inventory management models with time-varying market maker risk-bearing capacity. Authors have furnished an , which is available on the Oxford University Press Web site next to the link to the final published paper online.