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Market Microstructure · Behavioural Finance·2026·Research Note
Overnight Price Jumps and Short-Term Return Predictability
Market overreaction, price discovery, and trading implications in U.S. equities.
AuthorPaolo d'Ascenzi
Official research document
Read the complete original paper.
This research note studies overnight price jumps in U.S. equities, their short-term reversal, the evidence across crisis periods and firm characteristics, the horizon at which the effect disappears, and the implications of the move toward 23-hour trading.
The original document is available in English as a Microsoft Word file and is signed by Paolo d'Ascenzi.
Download full researchThis research is provided for educational and informational purposes only. It does not constitute investment advice, a recommendation, or an offer to buy or sell any financial instrument.