Overnight versus intraday returns of anomalies in China

Abstract

Lou et al. (2019) demonstrate a strong tug-of-war in the profits of asset-pricing anomalies by showing that they are either profitable entirely overnight or entirely intraday. Our study extends their analysis of overnight and intraday return patterns for anomalies in the Chinese stock markets. Contrary to the U.S. evidence, we show that not all anomalies can be profitable either during daytime or overnight sessions in China, and more strategies are profitable during overnight sessions in China. Overall, our study suggests that the unique features of the Chinese markets could lead to divergent out-of-sample evidence for the tug-of-war in asset-pricing anomalies.