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SUMMARY:The Cross-Section of Intraday and Overnight Returns
DTSTART:20161011T120000
DTEND:20161011T130000
DTSTAMP:20260506T080122Z
UID:6b2098cf839f2c39474368f53e290441f12a4aa2a39f5f7867736998
CATEGORIES:Conferences - Seminars
DESCRIPTION:Vincent BOGOUSSLAVSKY (PhD student\, SFI@EPFL)\nI examine intr
 aday and overnight returns on asset pricing anomalies to shed light on wha
 t drives cross-sectional return predictability. Using a thirty-year sample
  of intraday returns on U.S. common stocks\, I find that anomalies' return
 s accrue over the day in radically different ways. Size and illiquidity pr
 emia are realized in the last thirty minutes of trading\, while others\, s
 uch as profitability and idiosyncratic volatility premia\, accrue graduall
 y throughout the trading day. I evaluate theories of intraday and overnigh
 t return patterns and draw implications for theories of cross-sectional re
 turn predictability. The evidence also helps highlight common factors amon
 g anomalies.
LOCATION:UNIL\, Extranef\, room 126 https://planete.unil.ch/plan/?local=EX
 T-126
STATUS:CONFIRMED
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