Strikingly Suspicious Overnight and Intraday Returns — mentioned by david-gpu

Wed, 28 Oct 2020 00:04:36 GMT

If you read the first source [0] in the article, you will find the following refutation in the first page: <<Consider the possibility that quarterly company earn- ings announcements in the United States (outside reg- ular trading hours) are responsible for the top row of Figure 1 [15]. You can falsify this attempted explanation by removing the returns around earnings announcements and noting that this does not meaningfully change the plots (as in Section 4.1 of Ref. [5]).>> [0] https://arxiv.org/abs/2010.01727

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Strikingly Suspicious Overnight and Intraday Returns — mentioned by david-gpu