This paper documents that U.S. equity returns are large and positive during the opening hours of European markets. These returns are pervasive and highly economically and statistically significant. Consistent with models of inventory risk, we demonstrate a strong relationship with order imbalances at the close of the preceding U.S. trading day. Rationalizing unconditionally positive “overnight drift” returns, we uncover an asymmetric reaction to demand shocks: market sell-offs generate robust positive overnight reversals, while reversals following market rallies are much more modest. We argue that demand shock asymmetry can arise in inventory management models with time-varying market maker risk-bearing capacity.

中文翻译：

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一夜之间的漂移

本文记录了美国股票在欧洲市场开市期间的巨大且积极的回报。这些回报无处不在，具有高度的经济和统计意义。与库存风险模型一致，我们在前一个美国交易日收盘时证明了与订单失衡的密切关系。合理化无条件正的“隔夜漂移”回报，我们发现了对需求冲击的不对称反应：市场抛售产生强劲的隔夜正反转，而市场反弹后的反转要温和得多。我们认为，在具有随时间变化的做市商风险承受能力的库存管理模型中，可能会出现需求冲击不对称性。