Price Discovery Overnight:Evidence from Pre- and After-Market Trading

Abstract We study when overnight price discovery occurs by decomposing the close-to-open return into after-market, pre-market, and dark returns, where the dark return is measured from the last aftermarket trade to the first pre-market trade. Using one-minute trade data for S&P 500 stocks over October 2008 to December 2023, we show that on average, dark […] Source