Persistence of Overnight/Intraday Equity Market Return Patterns
March 3, 2022 - Calendar Effects, Equity Premium
What best explains the decades-long pattern of strong overnight and weak intraday returns in most equity markets? In his January 2022 paper entitled “They Still Haven’t Told You”, Bruce Knuteson reviews possible explanations for this pattern and identifies the most likely. His theoretical equity index benchmark is a random walk with slight upward drift (due… Keep Reading