The cross-section of intraday and overnight returns

• 成果类型: Article
• 署名作者: Bogousslavsky, Vincent
• 署名单位: Boston College
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.07.020
• 发表日期: 2021
• 页码: 172-194
• 关键词: Intraday returns; Overnight returns; anomalies; Mispricing

摘要

I investigate cross-sectional variation in stock returns over the trading day and overnight to shed light on what drives asset pricing anomalies. Margin requirements are higher overnight, and lending fees are typically charged only on positions held overnight. Such institutional constraints and overnight risk incentivize arbitrageurs who trade on mispric-ing to reduce their positions before the end of the day. Consistent with this intuition, a mispricing factor earns positive returns throughout the day but performs poorly at the end of the day. This pattern strengthens in the second half of the sample and is shared by several well-known anomalies. (c) 2021 Elsevier B.V. All rights reserved.