This is a really poor use of the arXiv. Here's a discussion of the same phenomenon that provides some explanations that aren't "a shadowy trading firm is propp

This is a really poor use of the arXiv. Here's a discussion of the same phenomenon that provides some explanations that aren't "a shadowy trading firm is propping up prices by painting the tape at open": https://systematicindividualinvestor.com/2021/01/15/the-magic-of-overnight-stock-market-returns/ https://systematicindividualinvestor.com/2021/01/15/the-magi... To be honest, the author's strategy could really be happening: some market player (or players) may be aggressively buying up stocks at open and selling them throughout the day at a loss so that the overnight gains positively impact their much larger buy-and-hold tranche of the same stocks. So what? Not only would they be taking on a risk premium by holding that larger slice of stocks overnight, but they're also opening themselves up to massive tail risk. A strategy like this works by taking advantage of the change in order book depth throughout the day to pump up P/Es. P/Es will eventually come back down. When that happens, who knows whether the crash'll start during a trading session or overnight. It reduces into a market timing strategy. This "paper" is ridiculous.