Investing Research Articles

Has 24-hour trading of equity index futures created a reliable pattern in hour-by-hour returns? In their February 2020 preliminary paper entitled “The Overnight Drift”, Nina Boyarchenko, Lars Larsen and Paul Whelan study round-the-clock U.S. stock market performance decomposing S&P 500 Index futures returns by hour, with focus on dealer inventory management. Using 24-hour high-frequency trades… Keep Reading

Does persistence in the difference in direction between overnight stock trading and intraday stock trading behaviors (tug of war) predict future returns? In their January 2019 paper entitled “Overnight Returns, Daytime Reversals, and Future Stock Returns: The Risk of Investing in a Tug of War with Noise Traders”, Ferhat Akbas, Ekkehart Boehmer, Chao Jiang and Paul Koch investigate… Keep Reading

…traders may find Day Trading Options an interesting exploration of potential short-term options pricing inefficiencies and of approaches to exploiting such anomalies. However, the book presents no associated model of reasonably sustainable portfolio-level returns.

Below is a weekly summary of our research findings for 3/14/22 through 3/18/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

Below is a weekly summary of our research findings for 8/25/25 through 8/29/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

…Jim Cramer’s buy (sell) recommendations tend to gap up (down) overnight to a degree inverse to market capitalization and then level off or reverse over the next few weeks. In general, investors cannot capture the gaps. The best play for traders is to buy Cramer-initiated small-cap sell recommendations within a few days and wait for reversal over the next few weeks.

…Asian stock markets do to some degree follow the U.S. market, including its sharp drops. However, U.S. market plunges are rare and clustered, the Asian market responses to these plunges are noisy, and overnight/weekend gaps on Asian markets substantially absorb plunge contagion.

Are there commodity futures traders who consistently outperform? Who are they? What information do they exploit? In the September 2010 version of their paper entitled “Identifying Informed Traders in Futures Markets”, Raymond Fishe and Aaron Smith examine the short-term trading abilities of commodity futures traders by recreating their trading histories. They distinguish between those who… Keep Reading

Are stock betas calculated with price jumps (arguably derived from informed trading) more useful than those calculated conventionally (arguably dominated by noise trading)? In the December 2014 version of their paper entitled “Roughing Up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns”, Tim Bollerslev, Sophia Zhengzi Li and Viktor Todorov compare the powers of standard or “smooth” stock betas and… Keep Reading

Do stocks worldwide generate most of their total return while the market is open or closed? In their October 2015 paper entitled “Making Money While You Sleep? Anomalies in International Day and Night Returns”, Kevin Aretz and Sohnke Bartram decompose returns and factor premiums into day and night components. When aggregating returns across countries, they first average… Keep Reading