Stats › Intraday et microstructure de marché › Momentum overnight
Momentum was earned entirely overnight and lost money during the day
Monthly excess return to a value-weighted decile 10 minus decile 1 price momentum portfolio, US common stocks with microcaps excluded, 1993 to 2013. The middle bar is the Sharpe ratio of the close-to-close version rather than its return, included for scale: overnight Sharpe 0.77, intraday minus 0.10.
A standard price momentum portfolio returned 0.89% a month holding only from close to open, and minus 0.18% holding only from open to close. The same night and day split runs through eleven other anomalies, with two reversing sign.
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