Combining Overnight and TOTM Effects
March 17, 2022 - Calendar Effects
With reference to “Turn-of-the-Month Effect Persistence and Robustness” and “Persistence of Overnight/Intraday Equity Market Return Patterns”, a subscriber asked about a strategy that is long SPDR S&P 500 ETF Trust (SPY) only from market close to market open during the turn-of-the-month (TOTM). To investigate, we consider three strategies: TOTM Close-to-Open: long SPY from close-to-open during… Keep Reading