The Cross-Section of Intraday and Overnight Returns

Using a thirty-year sample of intraday returns on U.S. stocks, I show that asset pricing anomalies accrue over the day in radically different ways. Size and illiquidity premia are realized in the last thirty minutes of trading. Furthermore, the turnover of small stocks relative to that of large stocks spikes around the close. This evidence can be explained by a model in which liquidity deteriorates before the close. Other anomalies, such as profitability and idiosyncratic volatility, accrue gradually throughout the trading day but incur large negative returns overnight. The evidence is consistent with mispricing at the open.

• Publication year

  2019

• Venue

  Journal of Financial Economics

• Publication date

  2019-12-09

• Fields of study

  Business, Economics

• Identifiers
  DOI 10.2139/ssrn.2869624
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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