- US stock market returns tend to be strongest in the overnight session.
- Factors contributing to this phenomenon include the shortness of formal trading hours, global trading cycles, earnings releases, and the influence of derivatives and index funds.
- Exploiting the anomaly is challenging due to trading costs and low liquidity overnight.
- The NightShares ETF has lost almost 6% over the past year.
- JPMorgan analysts have constructed a trading strategy using overnight returns as a momentum and reversal signal.
Exploiting the wonderfully weird overnight drift of stocks
Trading the witching hour
Robin Wigglesworth
