I investigate cross-sectional variation in stock returns over the trading day and overnight to shed light on what drives asset pricing anomalies. Margin requirements are higher overnight, and lending fees are typically charged only on positions held overnight. Such institutional constraints and overnight risk incentivize arbitrageurs who trade on mispricing to reduce their positions before the end of the day. Consistent with this intuition, a mispricing factor earns positive returns throughout the day but performs poorly at the end of the day. This pattern strengthens in the second half of the sample and is shared by several well-known anomalies.

中文翻译：

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日内和隔夜收益的横截面

我调查了交易日和隔夜股票收益的横截面变化，以阐明导致资产定价异常的原因。隔夜的保证金要求更高，通常只对隔夜持有的头寸收取贷款费用。这种制度上的限制和隔夜风险激励套利者以错误的定价进行交易，以减少他们在头一天结束前的头寸。与这种直觉相一致，定价错误因素会在一整天内获得正回报，但在一天结束时表现不佳。这种模式在样本的后半部分得到加强，并由几个众所周知的异常所共有。