May. 13 at 11:40 PM
$QUCY Interesting.............
Overnight momentum is a stock market anomaly where a significant portion of a stock's total return occurs outside of regular trading hours, particularly between the previous day's close and the next day's open. Research indicates this "night effect<<" often yields high positive returns, sometimes exceeding intraday performance, with, for example, 3-factor alpha being 0.95% at night vs 0.11% during the day.
Key Findings: Most abnormal returns for momentum strategies occur during the night.
Performance: Overnight returns often outpace intraday gains.
Behavior: It's frequently driven by investor anticipation or reaction to news, resulting in gaps at the market open.
Market Difference: While often positive in the U.S. market, studies indicate that in other markets like Taiwan, overnight returns can be followed by reversals.
The phenomenon is driven by the behavior of institutional investors acting differently than in the daytime, contributing to this trend.
