Overnight Return Reserval
- Lou, Dong, Christopher Polk, and Spyros Skouras. "A tug of war: Overnight versus intraday expected returns." Journal of Financial Economics 134, no. 1 (2019): 192-213.
- 股价拔河赛：期望收益的隔夜和日内部分
- 研究证实在公司层面上隔夜和日内收益具有强持续性, 两者互为反向, 效应持续数年。14种异象交易策略的收益率中均存在类似的“拔河赛”效应, 全用隔夜收益（对于反转和各种动量策略）或全用日内收益, 策略都能产生盈利, 通常两部分收益的符号相反。
- We thus view the overnight and intraday components of returns as potentially reflecting the specific demand by the corresponding clientele. Under this interpretation, stocks that experience relatively strong overnight or intraday returns do so in part because of temporary demand (and thus price pressure) from the clientele in question. To the extent that clientele order flow is persistent, stocks that outperform overnight should on average continue to perform relatively well overnight in the future. Furthermore, that price pressure (to the extent that it is not fully informative) must eventually reverse, and is more likely to do so during subsequent intraday periods when the opposing clientele dominates market activity. In other words, any back-and-forth, or tug of war, across the two periods reflects and reveals the relative importance of the overnight/intraday clienteles.
- 观察人的交易时间习惯可以将人分为不同群体。例如，一些投资者喜欢在上午开盘附近交易，另一些人喜欢在一天剩余时间内交易, 直至收盘。
- One key difference between these two periods is that much of the overnight return may reflect more firm- specific information. Firms tend to submit important regulatory filings after the market has closed.
- The overnight return is predominantly driven by trading of investors less concerned with liquidity and price impact.
- Alternatively, trading at the close could reflect trades that are not purely information-based. Presumably, many of these trades are made to rebalance portfolios that were previously optimal but no longer are. Indeed, some intra- day trading may be a result of institutional capital flows. Perhaps some institutional investors’ mandates effectively require capital to be invested immediately in the strategies those investors pursue, once that capital arrives.
- We conjecture that a part of this persistent investor preference/demand in these two periods can be tied to various firm charac-teristics. For example, some investors may be particularly averse to idiosyncratic risk overnight, and therefore reduce their exposure to high-idiosyncratic-volatility stocks shortly before market close; consequently, we may observe different return patterns associated with idiosyncratic volatility during the intraday vs. overnight periods.
- 反研究发现, 上个月隔夜收益高的股票, 下个月的隔夜收益平均也高, 而下个月的日内收益低。结论在经济和统计意义上都显著。
- 将超额收益分解为隔夜和日内部分，在 14 种策略中, 有9种策略的收益来源于日内部分; 而另5种都是基于过去收益（或与之相近的盈余公告）策略 $--4$ 种动量策略（价格、行业、盈余和时间序列动量）以及短期反转, 这5 种策略的收益都来源于隔夜部分。这种模式不是由宏观经济或者公司新闻公告所驱动。
- 每日拉锯战的月度强度能预测横截面收益，但是这种可预测性仅发生在高开情形下的反转。相比之下，低开后日间反转的，没有这样的预测关系。本文还发现，这种收益可预测性是由t+1月的隔夜收益驱动的，而不是日间收益。
理论分析：日间套利者的过度修正
- 高频率出现隔夜正收益并在下一交易日间反转，可能表明日间套利者在努力抵消不知情的噪音交易者反复向上的隔夜价格压力。该观点与近期研究一致，即个人和机构代表两类投资者，分别在隔夜和日间造成持续且相反的价格压力。
- 虽然价格发现通常发生在日间，但也有相当一部分价格发现发生在隔夜，因为公司会在收盘后披露大量重要的公开信息。因此，激烈的拉锯战与未来收益间的关系应取决于日间套利者区分隔夜正收益源于噪音还是新信息的能力。
- 日间套利者过度修正持续的隔夜正收益，高估了噪音交易者对价格压力的作用，低估了潜在的信息内容。随着拉锯战持续，日间套利者可能会忽视这样的可能性，即隔夜正收益的连续性源于新信息，而非仅源于乐观的噪音交易。
连续的高开后反转能预测收益，而低开后反转则不能：
- 高开盘价可能反映了乐观的隔夜个人投资者的价格压力，集合购买引起关注的股票。相比之下，悲观的隔夜个人投资者若不持有股票，就无法卖出，因其通常不会卖空。此外，隔夜期间的卖空既昂贵又冒险，从而使抵消乐观交易者的套利活动减少。因此，乐观的噪音交易者可能造成隔夜和开盘的高估，但悲观的噪音交易者不太可能导致隔夜的低估。
- 在长时间的拉锯战中，日间套利者的过度修正在分析难度大、信息不确定性高的股票中应该更明显。与此一致，本文结果在规模小、特质波动高、流动性低和分析师覆盖低的公司中更强。这些公司的信息不确定性更大，更易受到投机性噪音交易的影响。