Intraday and overnight returns and day-of-the-week effects

This paper examines intra‐trading‐day and overnight returns constructed from a transactions data base. Day‐of‐the‐week effects are examined for firms classified by level of thin trading. Results indicate that thin trading masks day‐of‐the‐week effects. Day‐of‐the‐week effects are much more pronounced for actively traded stocks. The importance of controlling for thin trading in studies where segmentation of returns into distinct periods is important is illustrated through an examination of day‐of‐the‐week effects for firms classified by size.