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Overnight versus intraday returns of anomalies in China

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  • Lin, Chaonan
  • Chang, Hui-Wen
  • Chou, Robin K.

Abstract

Lou et al. (2019) demonstrate a strong tug-of-war in the profits of asset-pricing anomalies by showing that they are either profitable entirely overnight or entirely intraday. Our study extends their analysis of overnight and intraday return patterns for anomalies in the Chinese stock markets. Contrary to the U.S. evidence, we show that not all anomalies can be profitable either during daytime or overnight sessions in China, and more strategies are profitable during overnight sessions in China. Overall, our study suggests that the unique features of the Chinese markets could lead to divergent out-of-sample evidence for the tug-of-war in asset-pricing anomalies.

Suggested Citation

  • Lin, Chaonan & Chang, Hui-Wen & Chou, Robin K., 2023. "Overnight versus intraday returns of anomalies in China," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
    • Handle: RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23000732
    DOI: 10.1016/j.pacfin.2023.102007
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    More about this item

    Keywords

    Anomalies; Overnight returns; Intraday returns; Chinese stock markets;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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