| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14462 |
| DP14462 The Overnight Drift | |
| Nina Boyarchenko; Lars Larsen; Paul Whelan | |
| 发表日期 | 2020-03-03 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | Since the advent of electronic trading in the mid 1990's, U.S. equities have traded (almost) 24 hours a day through equity index futures. This allows new information to be incorporated continuously into asset prices, yet, we show that almost 100% of the U.S equity premium is earned during a 1-hour window between 2:00 a.m. and 3:00 a.m. (ET) which we dub the "overnight drift". We study explanations for this finding within a framework a la Grossman and Miller (1988) and derive testable predictions linking dealer inventory shocks to high-frequency return predictability. Consistent with the predictions of the model, we document a strong negative relationship between end of day order imbalance, arising from market sell offs, and the overnight drift occurring at the opening of European financial markets. Further, we show that in recent years dealers have increasingly offloaded inventory shocks at the opening of Asian markets and exploit a natural experiment based on daylight savings time to show that Asian offloading shifts by one hour between summer and winter. |
| 主题 | Financial Economics |
| 关键词 | Equity risk Overnight returns Intraday immediacy Inventory management |
| URL | https://cepr.org/publications/dp14462 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/543360 |
| 推荐引用方式 GB/T 7714 | Nina Boyarchenko,Lars Larsen,Paul Whelan. DP14462 The Overnight Drift. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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