tag:blogger.com,1999:blog-7905515.post3439106910871870025..comments2024-03-14T11:09:32.759-05:00Comments on Falkenblog: Overnight Stock ReturnsEric Falkensteinhttp://www.blogger.com/profile/07243687157322033496noreply@blogger.comBlogger9125tag:blogger.com,1999:blog-7905515.post-11002377155783025702011-06-27T14:45:36.311-05:002011-06-27T14:45:36.311-05:00Not sure this passes the ideological Turing test. ...Not sure this passes the ideological Turing test. I would doubt that Fama or Sharpe would say that the returns from Close to Open are due to increased risks. However, I suppose there are liquidity risks that aren't accounted for. The average person can't trade when the market is closed. Further, most economic/earnings data is released over this period, compounding some of that problem.John Hallnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-80238862301289440572011-06-27T13:27:49.474-05:002011-06-27T13:27:49.474-05:00Standard deviation is a poor measure of risk in th...Standard deviation is a poor measure of risk in this case. When holding stocks from close to open, you likely incur significant tail risk due to earnings reports etc. Skew and kurtosis are important.sentimentArbhttp://twitter.com/sentimentArbnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-40961647124709326892011-06-27T13:00:44.096-05:002011-06-27T13:00:44.096-05:00This gives me an idea for two new etf's.This gives me an idea for two new etf's.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-34275239264069021512011-06-27T10:44:49.513-05:002011-06-27T10:44:49.513-05:00me again... actually your samples are huge in size...me again... actually your samples are huge in size. the difference between open to close return and close to open can't be random. sorry for that.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-32013503946173553722011-06-27T04:32:36.911-05:002011-06-27T04:32:36.911-05:00hello eric,
first of all congratulations for the ...hello eric,<br /><br />first of all congratulations for the blog. I ran into it by accident yesterday and only wish I found it earlier.<br /><br />with regard to your post, I am no expert, but to me none of those numbers looks statistically significant. close to open and open to close could well be part of the same population (if we assume normal distribution with standard deviation as calculated by you). the difference between the two means is not that big either considering the expected distribution of the difference of two means.<br /><br />I am probably missing somethig, and would be very grateful if somabody could point it out :)<br /><br />once again thanks for the blog.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-12806928626422494922011-06-26T20:30:47.544-05:002011-06-26T20:30:47.544-05:00I'm curious, what is the definition of risk? I...I'm curious, what is the definition of risk? Is yours different from the mainstream?<br /><br />Reading Benjamin Graham, his definition of risk was something to the extent of "the probability that I will lose all capital invested"?<br /><br />Thats how I've always looked at it.JoeMachttps://www.blogger.com/profile/12650518988624821388noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-36512683565338130092011-06-26T20:13:48.439-05:002011-06-26T20:13:48.439-05:00Interesting - I took a look myself at SPY cyclical...Interesting - I took a look myself at SPY cyclicality. The O-C return seems to dominate during speculative periods - 2003, 2009 rally - but otherwise C-O is fairly dominant.Tom Anichinihttps://www.blogger.com/profile/06263159507809271795noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-47484835257509340242011-06-26T20:08:52.782-05:002011-06-26T20:08:52.782-05:00I'm not saying there's an arbitrage. Inde...I'm not saying there's an arbitrage. Indeed, if I thought there were, I wouldn't have posted it. It's just rather strange, and anomalous.Eric Falkensteinhttps://www.blogger.com/profile/07243687157322033496noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-71475351924760845952011-06-26T19:52:18.162-05:002011-06-26T19:52:18.162-05:00Isn't there a fairly simple "limits to ar...Isn't there a fairly simple "limits to arbitrage" story as to why this might happen -- namely that even 7bp of per-day transaction costs would erase the return difference between the two for SPDRs, for example?J.P.https://www.blogger.com/profile/02884421653887986971noreply@blogger.com