The information flow in modern financial markets is continuous, but major stock exchanges are open for trading for only a limited number of hours. No consensus has emerged on how to deal with overnight returns when calculating and forecasting realized volatility in markets where trading does not...

No consensus has emerged on how to deal with overnight returns when calculating realized volatility in markets where trading does not take place 24 hours a day. This paper explores several common volatility applications, investigating how the chosen treatment of overnight returns affects the...

We study how capital flows affect hedge fund returns. The contemporaneous relation is positive: funds with high flows outperform funds with low flows during the month of the flows. This immediate reaction, combined with feedback trading, gives rise to a cycle: flows exert price pressure, this...