Asymmetrical impacts from overnight returns on stock returns
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DOI: 10.1007/s11156-020-00911-y
Abstract: This paper documents significant relationship between overnight returns and future stock returns in the long-term where high averages of overnight returns lead to low future stock returns, with formation periods ranging from 1 month to 1 year.… read more here.
Keywords: overnight returns; future stock; variations overnight; returns lead ... See more keywords
ETFs’ high overnight returns: The early liquidity provider gets the worm
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Financial Markets"
DOI: 10.1016/j.finmar.2020.100563
Abstract: Abstract I examine the extent to which exchange-traded funds’ (ETFs) unusually high overnight returns are distorted by market microstructure effects; specifically, positive order imbalances and overnight increases in bid-ask spreads. Introducing a model that isolates… read more here.
Keywords: overnight returns; early liquidity; etfs high; order imbalances ... See more keywords