[ebe1e95d8942]

but this article is explaining that unless you are selling short in the morning and covering at night, there are mostly negative returns for intraday trading, i.e. "pil(ing) in in the morning, and exit(ing) in the afternoon".

There are lots of firms and funds and floors that never hold overnight, but this research demonstrates that that is basically a statistically losing strategy. If you follow markets it's almost impossible to not notice that almost all the real action happens after hours, and the day's trading tends to "erase" whatever happened overnight. Bruce's research is hard to contradict, unless the data is wrong or his formulae or off.

[galaxyLogic]

Or does it just feel that way because overnight as much is happening in the real world as during the day, but nothing is happening in the stock-market? Then when morning comes a lot happens in the stock-market to sync it with the state-change overnight.

[ksdale]

I think the issue with this is that one person's loss is another person's gain. Lots of people lose money during the day, but it's not generally the very sophisticated hedge funds and HFT people.

And if you were to hold overnight, you'd have to sell in the morning, and the volume of overnight trading isn't high enough to support a bunch of big firms buying into overnight trading and selling at open, they'd all sell into a disaster, which would make overnight returns go away?

[quickthrower2]

This makes sense to me as given a constant rate if information per hour from world markets and the world in general, there will be more information outside of trading hours than within them.

[galaxyLogic]

I'm not sure there is "more information" about the value of a stock. There is only newer information.

The new information during the night can tell us "Hey the price should be higher" but then more information coming in later can cancel the previous good news.