This is a summary of links featured on Quantocracy on Tuesday, 11/21/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
The Overnight Anomaly: Alive and Well [Return Sources]In finance, the overnight anomaly is the name for the unusual phenomenon that overnight stock market returns are much higher than intraday returns. In a 2008 paper, Return Differences between Trading and Non-trading Hours: Like Night and Day, the authors break down the U.S. equity premium into its night-time and day-time components, and find that the entire premium is due to night
A Long-Term Look at the Wednesday Before Thanksgiving [Quantifiable Edges]Thanksgiving week has shown some strong seasonal tendencies over the years. Ive documented this in years past on the blog. From a seasonal standpoint, Wednesday before Thanksgiving is one of the most bullish trading days of the year. The chart below shows performance from Tuesdays close to Wednesdays close on the day before Thanksgiving. SPX performance on Wed before Thanksgiving It