Returns in trading versus non-trading hours: The difference is day and nightMichael A. Kelly, Steven P. Clark2011-05-19articleJournal of Asset Management87 citationsclosedNo readable copy stored yet — this record is metadata only.Financial Markets and Investment StrategiesFinancial Analysis and Corporate GovernanceFinancial Risk and Volatility ModelingAbstractNo abstract was published for this record.Citations in this libraryStored only when both papers are in the corpus — 87 citations exist upstream.Referencesn.d.A model of investor sentiment /1966Mutual Fund Performance1998A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.11994The Sharpe Ratio2012How to Rate Management of Investment Funds1994Autoregressive Conditional Density Estimation1981Performance Hypothesis Testing with the Sharpe and Treynor Measures1985An Investigation of Transactions Data for NYSE StocksCited by2012'Sell in May and Go Away' Just Won't Go Away2019The Overnight Return Puzzle and the 'T+1' Trading Rule in Chinese Stock Markets2013Intraday Patterns in FX Returns and Order Flow2017Option Mispricing around Nontrading Periods