Returns in trading versus non-trading hours: The difference is day and night

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Returns in trading versus non-trading hours: The difference is day and night

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dc.contributor.author Kelly, Michael A.
dc.contributor.author Clark, S. P.
dc.date.accessioned 2012-11-19T20:06:35Z
dc.date.available 2012-11-19T20:06:35Z
dc.date.issued 2011
dc.identifier.citation Kelly, M. A. and S. P. Clark (2011) "Returns in trading versus non-trading hours: The difference is day and night." Journal of Asset Management 12 (2): 132–145. en_US
dc.identifier.uri http://hdl.handle.net/10385/1012
dc.description.abstract Market efficiency implies that the risk-adjusted returns from holding stocks during regular trading hours should be indistinguishable from the risk-adjusted returns from holding stocks outside those hours. We find evidence to the contrary. We use broad-based index exchange-traded funds for our analysis and the Sharpe ratio to compare returns. The magnitude of this effect is startling. For example, the geometric average close-to-open (CO) risk premium (return minus the risk-free rate) of the QQQQ from 1999–2006 was +23.7 per cent whereas the average open-to-close risk premium was −23.3 per cent with lower volatility for the CO risk premium. This result has broad implications for when investors should buy and sell broadly diversified portfolios. en_US
dc.language.iso en_US en_US
dc.publisher Journal of Asset Management en_US
dc.subject anomaly en_US
dc.subject efficiency en_US
dc.subject ETF en_US
dc.subject Sharpe ratio en_US
dc.title Returns in trading versus non-trading hours: The difference is day and night en_US
dc.type Article en_US
dc.identifier.doi 10.1057/jam.2011.2

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