From CAPE 15 to CAPE 35: Overnight Returns and Intraday Trading Patterns

Abstract Between 2008 and 2023, the Campbell-Shiller price-to-earnings ratio (CAPE) roughly doubled. During this time, a specific subset of S&P 500 stocks generated almost all of their total return overnight, with minimal intraday contribution. This suggests that the overnight break played an important role in adjusting to higher valuation levels.