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首页> 外文期刊>Journal of financial economics >A tug of war: Overnight versus intraday expected returns
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A tug of war: Overnight versus intraday expected returns

机译：拔河：隔夜对盘中预期收益

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We link investor heterogeneity to the persistence of the overnight and intraday components of returns. We document strong overnight and intraday firm-level return continuation along with an offsetting cross-period reversal effect, all of which lasts for years. We look for a similar tug of war in the returns of 14 trading strategies, finding in all cases that profits are either earned entirely overnight (for reversal and a variety of momentum strategies) or entirely intraday, typically with profits of opposite signs across these components. We argue that this tug of war should reduce the effectiveness of clienteles pursuing the strategy. Indeed, the smoothed spread between the overnight and intraday return components of a strategy generally forecasts time variation in that strategy's close-to-close performance in a manner consistent with that interpretation. Finally, we link cross-sectional and time-series variation in the decomposition of momentum profits to a specific institutional tug of war. (C) 2019 Elsevier B.V. All rights reserved.
机译：我们将投资者的异质性与隔夜和日内收益的持续性联系起来。我们记录了强劲的隔夜和盘中公司水平的收益连续性以及抵消性的跨期逆转效应，这些效应持续了多年。我们在14种交易策略的收益中寻找相似的拉锯战，发现在所有情况下，利润要么全部是隔夜（针对逆转和各种动量策略）赚取，要么全部是日内赚取，通常在这些组成部分中具有相反符号的利润。我们认为，这场拉锯战将降低追求该策略的客户的有效性。确实，策略的隔夜和日内收益成分之间的平滑价差通常以与该解释一致的方式预测该策略的收盘价至收盘价表现的时间变化。最后，我们将动量利润分解中的横截面和时间序列变化与特定的机构拔河联系起来。 （C）2019 Elsevier B.V.保留所有权利。

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