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. The stocks in this group are heavily traded near both the open and close and can be classified as high-attention stocks. The remaining S&P 500 stocks are mainly traded near the close. These stocks achieved most of their gains during the day. Despite the differences in return timing, the total returns for both groups were almost identical.
Keywords: overnight return, return anomaly, high-attention stocks, trading volume, liquidity, CAPE, intraday return
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