6 ms·

That's interesting, but if you follow the citations, you'll end here [1]. And in that paper: > The Night return includes split-adjusted dividends as reported

by OldHand2018 6y ago

That's interesting, but if you follow the citations, you'll end here [1]. And in that paper: > The Night return includes split-adjusted dividends as reported on CRSP. So, uh, that's a pretty big reason for night returns being higher. [1] https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1004081 https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1004081

david-gpu 6y ago
Not really, because in an efficient market one would expect prices to reflect expected dividend payouts. Also, it would not explain why the data from the Chinese market follows the opposite trend. I'm not saying there's a big conspiracy here. There's most likely some simple explanation, perhaps involving the different algorithm used in exchanges to match buy/sell orders during opening and closing, compared to the rest of the day. I wish I had some more time to dig deeper into this, because at face value it's surprising.
- OldHand2018 6y ago
  Maybe I am not understanding your argument. If stock A is going to pay a dividend of $1 per share, you are suggesting that the price of the stock is going to be $1 higher than it would have been if there was no dividend? Ok, that's fine. But, then you actually get the $1 paid to you. If they are including dividends in the returns, then they are talking about total returns, and the formula for a total return is (price + dividend) / (previous price). If you ever look closely at the claims that the market goes up by an average of 7-10% yearly, you'll see that it always includes dividend reinvestment. Returns are way lower if you don't include the dividends. If you are cash them out as they come, they call that the income return on your investment. EDIT - I'll also point out that the US returns, according to that source study, are coming from CRSP. CRSP publishes US data according to their own methodology. Chinese data is not coming from them, and there is no reason to believe that it is using the same methodology. Apples v Apples, you know.

david-gpu 6y ago

Not really, because in an efficient market one would expect prices to reflect expected dividend payouts. Also, it would not explain why the data from the Chinese market follows the opposite trend. I'm not saying there's a big conspiracy here. There's most likely some simple explanation, perhaps involving the different algorithm used in exchanges to match buy/sell orders during opening and closing, compared to the rest of the day. I wish I had some more time to dig deeper into this, because at face value it's surprising.

OldHand2018 6y ago
Maybe I am not understanding your argument. If stock A is going to pay a dividend of $1 per share, you are suggesting that the price of the stock is going to be $1 higher than it would have been if there was no dividend? Ok, that's fine. But, then you actually get the $1 paid to you. If they are including dividends in the returns, then they are talking about total returns, and the formula for a total return is (price + dividend) / (previous price). If you ever look closely at the claims that the market goes up by an average of 7-10% yearly, you'll see that it always includes dividend reinvestment. Returns are way lower if you don't include the dividends. If you are cash them out as they come, they call that the income return on your investment. EDIT - I'll also point out that the US returns, according to that source study, are coming from CRSP. CRSP publishes US data according to their own methodology. Chinese data is not coming from them, and there is no reason to believe that it is using the same methodology. Apples v Apples, you know.