The Cross-Section of Intraday and Overnight Returns
Event details
| Date | 11.10.2016 |
| Hour | 12:00 › 13:00 |
| Speaker | Vincent BOGOUSSLAVSKY (PhD student, SFI@EPFL) |
| Location | |
| Category | Conferences - Seminars |
I examine intraday and overnight returns on asset pricing anomalies to shed light on what drives cross-sectional return predictability. Using a thirty-year sample of intraday returns on U.S. common stocks, I find that anomalies' returns accrue over the day in radically different ways. Size and illiquidity premia are realized in the last thirty minutes of trading, while others, such as profitability and idiosyncratic volatility premia, accrue gradually throughout the trading day. I evaluate theories of intraday and overnight return patterns and draw implications for theories of cross-sectional return predictability. The evidence also helps highlight common factors among anomalies.
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