Strikingly Suspicious Overnight and Intraday Returns

TL;DR

This paper investigates unusual patterns in stock market returns, revealing consistent positive overnight and negative intraday returns, and proposes a plausible explanation for these suspicious patterns.

Contribution

It identifies and analyzes the suspicious overnight and intraday return patterns and deduces the only plausible explanation so far for these phenomena.

Findings

Overnight returns have been consistently positive over decades.

Intraday returns have been consistently negative.

The paper proposes a plausible explanation for these return patterns.

Abstract

The world's stock markets display a strikingly suspicious pattern of overnight and intraday returns. Overnight returns to major stock market indices over the past few decades have been wildly positive, while intraday returns have been disturbingly negative. The cause of these astonishingly consistent return patterns is unknown. We highlight the features of these extraordinary patterns that have hindered the construction of any plausible innocuous explanation. We then use those same features to deduce the only plausible explanation so far advanced for these strikingly suspicious returns.