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Stats › Intraday and market microstructure › Momentum overnight

Momentum was earned entirely overnight and lost money during the day

Overnight close to open: 0.89%+0.89%Overnightclose to openClose to close: 0.31%+0.31%Close to closeIntraday open to close: -0.18%-0.18%Intradayopen to close

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.

+0.89%Monthly momentum return holding close to open only, t = 3.44
-0.18%The same portfolio holding open to close only, t = -0.43
0.77Sharpe ratio overnight, against -0.10 intraday and 0.31 close to close
ElevenAnomalies showing the same night and day split, of thirteen tested

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