  We propose a 4-factor model for overnight returns and give explicit
definitions of our 4 factors. Long horizon fundamental factors such as value
and growth lack predictive power for overnight (or similar short horizon)
returns and are not included. All 4 factors are constructed based on intraday
price and volume data and are analogous to size (price), volatility, momentum
and liquidity (volume). Historical regressions a la Fama and MacBeth (1973)
suggest that our 4 factors have sizable serial t-statistic and appear to be
relevant predictors for overnight returns. We check this by using our 4-factor
model in an explicit intraday mean-reversion alpha.
