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The cross-section of intraday and overnight returns

Citations

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Cited by:

  1. Hajiyev, Aghamehman & Keiber, Karl Ludwig & Luczak, Adalbert, 2024. "Tug of war with noise traders? Evidence from the G7 stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 234-243.
  2. Andersen, Torben G. & Riva, Raul & Thyrsgaard, Martin & Todorov, Viktor, 2023. "Intraday cross-sectional distributions of systematic risk," Journal of Econometrics, Elsevier, vol. 235(2), pages 1394-1418.
  3. 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).
  4. Saketh Aleti & Tim Bollerslev & Mathias Siggaard, 2025. "Intraday Market Return Predictability Culled from the Factor Zoo," Management Science, INFORMS, vol. 71(9), pages 7731-7751, September.
  5. Antonios Persakis, 2024. "The impact of climate policy uncertainty on ESG performance, carbon emission intensity and firm performance: evidence from Fortune 1000 firms," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 26(9), pages 24031-24081, September.
  6. Kallinterakis, Vasileios & Karaa, Rabaa, 2023. "From dusk till dawn (and vice versa): Overnight-versus-daytime reversals and feedback trading," International Review of Financial Analysis, Elsevier, vol. 85(C).
  7. De Rossi, Giuliano & Steliaros, Michael, 2022. "The Shift from Active to Passive and its Effect on Intraday Stock Dynamics," Journal of Banking & Finance, Elsevier, vol. 143(C).
  8. Xiaozhen Jing & Dezhong Xu & Bin Li & Tarlok Singh, 2024. "Does the U.S. extreme indicator matter in stock markets? International evidence," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-27, December.
  9. Piotr Orłowski & Paul Schneider & Fabio Trojani, 2024. "On the Nature of (Jump) Skewness Risk Premia," Management Science, INFORMS, vol. 70(2), pages 1154-1174, February.
  10. Qiu, Jiayan & Huang, Wei & Jiang, Ying, 2023. "When do they trade? Heterogeneous investors in China," Finance Research Letters, Elsevier, vol. 54(C).
  11. Li, Yubin & Zhao, Chen & Zhong, Zhaodong (Ken), 2021. "Trading behavior of retail investors in derivatives markets: Evidence from Mini options," Journal of Banking & Finance, Elsevier, vol. 133(C).
  12. Qiu, Jiayan & Huang, Wei & Jiang, Ying, 2025. "Day-night anomaly returns in China: The role of institutions," Research in International Business and Finance, Elsevier, vol. 75(C).
  13. Zirk-Sadowski, Jan & Hryckiewicz, Aneta, 2025. "Intraday and overnight return anomalies: Evidence from 11.6 million price observations," Finance Research Letters, Elsevier, vol. 86(PD).
  14. Bogousslavsky, Vincent & Muravyev, Dmitriy, 2023. "Who trades at the close? Implications for price discovery and liquidity," Journal of Financial Markets, Elsevier, vol. 66(C).
  15. Liu, Xin & Zhang, Tianyao (Terry) & Zhang, Yaodong, 2026. "A hidden cost of ETF investing: Retail demand shocks and limits to arbitrage," Journal of Banking & Finance, Elsevier, vol. 185(C).
  16. Songrun He, 2026. "Interpretable Systematic Risk around the Clock," Papers 2604.13458, arXiv.org.
  17. Insana, Alessandra, 2022. "Does systematic risk change when markets close? An analysis using stocks’ beta," Economic Modelling, Elsevier, vol. 109(C).
  18. Chen, Jian & Haboub, Ahmad & Khan, Ali, 2024. "Limits of arbitrage and their impact on market efficiency: Evidence from China," Global Finance Journal, Elsevier, vol. 59(C).
  19. Cheng, Hang & Shi, Yongdong & Zhang, Tong, 2025. "Unlocking the true price impact: Intraday liquidity and expected return in China’s stock market," Pacific-Basin Finance Journal, Elsevier, vol. 94(C).
  20. Jun Du & Dashan Huang & Yu-Jane Liu & Yushui Shi & Avanidhar Subrahmanyam & Huacheng Zhang, 2026. "Nominal Prices, Retail Investor Participation, and Return Momentum," Management Science, INFORMS, vol. 72(3), pages 2064-2089, March.
  21. Chang, Hui-Wen & Tseng, Shiang-Ting & Yang, Nien-Tzu, 2026. "Asset pricing and a tale of night and day: Evidence from Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 95(C).
  22. Jiang, Hao & Li, Sophia Zhengzi & Yuan, Peixuan, 2025. "Granular information and sectoral movements," Journal of Economic Dynamics and Control, Elsevier, vol. 171(C).
  23. Jian Chen & Ahmad Haboub & Ali Khan & Syed Mahmud, 2025. "Investor clientele and intraday patterns in the cross section of stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 64(2), pages 757-797, February.
  24. Wang, Cheng & Bouri, Elie & Xu, Yahua & Zhang, Dingsheng, 2023. "Intraday and overnight tail risks and return predictability in the crude oil market: Evidence from oil-related regular news and extreme shocks," Energy Economics, Elsevier, vol. 127(PB).
  25. Siddiqi, Hammad, 2022. "Asset Pricing in the Resource-Constrained Brain," MPRA Paper 120526, University Library of Munich, Germany, revised 05 Feb 2024.
  26. Lin, Anchor Y. & Lin, Hung-Yi & Huang, Lin-Hsiang & Lin, Yueh-Neng, 2024. "Overnight returns following large price movements," Finance Research Letters, Elsevier, vol. 62(PB).
  27. Lu, Zhongjin & Malliaris, Steven & Qin, Zhongling, 2023. "Heterogeneous liquidity providers and night-minus-day return predictability," Journal of Financial Economics, Elsevier, vol. 148(3), pages 175-200.
  28. Cheema, Muhammad A. & Chiah, Mardy & Man, Yimei, 2022. "Overnight returns, daytime reversals, and future stock returns: Is China different?," Pacific-Basin Finance Journal, Elsevier, vol. 74(C).
  29. Sophia Zhengzi Li & Zeyao Luan, 2025. "News-based investor disagreement and stock returns," Review of Accounting Studies, Springer, vol. 30(3), pages 2312-2375, September.
  30. Ho, Hsiao-Wei & Hsiao, Yu-Jen & Lo, Wen-Chi & Yang, Nien-Tzu, 2023. "Momentum investing and a tale of intraday and overnight returns: Evidence from Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
  31. Barardehi, Yashar H. & Bernhardt, Dan, 2025. "Revisiting the ∪-shaped patterns in volatility and price impacts: Novel results using trade-time estimates," Journal of Financial Markets, Elsevier, vol. 74(C).
  32. Guo, Jiaqi & Han, Xing & Li, Kai & Li, Youwei, 2025. "The nexus of overnight trend and asset prices in China," Journal of Economic Dynamics and Control, Elsevier, vol. 170(C).
  33. Yang, Ge & Yin, Ximing, 2024. "Stock price delay and the cross-section of expected returns: A story of night and day," International Review of Economics & Finance, Elsevier, vol. 96(PB).
  34. Barardehi, Yashar H. & Bernhardt, Dan & Da, Zhi & Warachka, Mitch, 2022. "Institutional Liquidity Demand and the Internalization of Retail Order Flow : The Tail Does Not Wag the Dog," The Warwick Economics Research Paper Series (TWERPS) 1394, University of Warwick, Department of Economics.
  35. Xie, Jun & Xia, Wenqian & Gao, Bin, 2025. "Overnight information and anomalies," Research in International Business and Finance, Elsevier, vol. 78(C).
  36. Hu, Danqi & Jones, Charles M. & Zhang, Xiaoyan & Zhang, Xinran, 2025. "When do short sellers trade? Evidence from intraday data and implications for informed trading models," Journal of Financial Economics, Elsevier, vol. 172(C).
  37. Perras, Patrizia & Wagner, Niklas, 2025. "Give me a break: What does the equity premium compensate for?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 99(C).
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