Heterogeneous liquidity providers and night-minus-day return predictability
研究异质性套利者（快速与慢速）如何竞争决定流动性价格，解释股票组合隔夜与日内预期收益符号相反的现象，并识别出预测隔夜减日内收益的新因素。
We present and test a model to understand the puzzling fact that characteristics-sorted stock portfolios tend to earn opposite-signed overnight and intraday expected returns. Heterogeneous arbitrageurs – "fast" arbitrageurs with informational advantages and "slow" arbitrageurs with low inventory costs – compete to determine the price of liquidity. High information asymmetry around market open allows fast arbitrageurs to demand large price deviations for absorbing order imbalances, as cream-skimming risk discourages competition from slow arbitrageurs. Despite persistent order imbalances, these deviations attenuate when cream-skimming risk subsides, leading to opposite-signed overnight and intraday returns. Our model identifies novel determinants that empirically explain substantial variations in predictable overnight-minus-intraday returns.