I examine whether a short-term reversal is attributed to past intraday or overnight price movements. The results show that intraday returns significantly reverse in the following week, while overnight returns do not, indicating that the short-term reversal is attributed to past intraday price movements. In addition, the reversal of intraday returns is stronger for more illiquid stocks and during more volatile market conditions, while the reversal is unaffected by fundamental news. This result supports the view that short-term reversals are attributable mainly to price concessions for liquidity providers to absorb intraday uninformed transactions, rather than intraday price reactions to fundamental information.

中文翻译：

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短期收益逆转和日内交易

我检查短期反转是否归因于过去的盘中或隔夜价格变动。结果显示，随后一周的盘中收益显着反转，而隔夜收益则没有，这表明短期反转归因于过去的盘中价格走势。此外，对于流动性较差的股票和更加动荡的市场条件，盘中收益的反转更强，而反转不受基本面消息的影响。这一结果支持这样一种观点，即短期逆转主要归因于流动性提供者为吸收日内不知情交易而做出的价格让步，而不是日内价格对基本信息的反应。