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- W4383374855 abstract "Abstract This paper demonstrates that overnight returns are subject to highly persistent biases and examines the profitability of overnight‐only investments in that context. Overnight returns tend to exceed their intraday counterparts, and the paper first reconciles these patterns by introducing a model that factors in systematic biases. This model identifies one‐fifth of stocks as having positive and statistically significant overnight biases. Investing overnight in these stocks in the next year yields twice the market's return for a third of the market beta. Results also have implications for daytime investors as these stocks underperform intraday. Implementation costs and issues are discussed." @default.
- W4383374855 created "2023-07-07" @default.
- W4383374855 creator A5074315837 @default.
- W4383374855 date "2023-07-06" @default.
- W4383374855 modified "2023-10-17" @default.
- W4383374855 title "Night trading: Lower risk but higher returns?" @default.
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- W4383374855 doi "https://doi.org/10.1002/rfe.1180" @default.
- W4383374855 hasPublicationYear "2023" @default.
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