A tug of war: Overnight versus intraday expected returns

• 成果类型: Article
• 署名作者: Lou, Dong; Polk, Christopher; Skouras, Spyros
• 署名单位: University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK; Athens University of Economics & Business
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2019.03.011
• 发表日期: 2019
• 页码: 192-213
• 关键词: Anomalies; Overnight returns; Intraday returns; Investor clienteles

摘要

We link investor heterogeneity to the persistence of the overnight and intraday components of returns. We document strong overnight and intraday firm-level return continuation along with an offsetting cross-period reversal effect, all of which lasts for years. We look for a similar tug of war in the returns of 14 trading strategies, finding in all cases that profits are either earned entirely overnight (for reversal and a variety of momentum strategies) or entirely intraday, typically with profits of opposite signs across these components. We argue that this tug of war should reduce the effectiveness of clienteles pursuing the strategy. Indeed, the smoothed spread between the overnight and intraday return components of a strategy generally forecasts time variation in that strategy's close-to-close performance in a manner consistent with that interpretation. Finally, we link cross-sectional and time-series variation in the decomposition of momentum profits to a specific institutional tug of war. (C) 2019 Elsevier B.V. All rights reserved.