Lars Christian Larsen

Copenhagen Business School

Solbjerg Plads 3

Frederiksberg C, DK - 2000

Denmark

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The Overnight Drift

FRB of New York Staff Report No. 917, February 2020, Rev. September 2021
Number of pages: 86 Posted: 02 Mar 2020 Last Revised: 09 Sep 2021
Nina Boyarchenko, Lars Christian Larsen and Paul Whelan
Federal Reserve Bank of New York, Copenhagen Business School and Copenhagen Business School
Downloads 1,886 (11,863)
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overnight returns, immediacy, inventory risk, volatility risk

The Overnight Drift

CEPR Discussion Paper No. DP14462
Number of pages: 66 Posted: 25 Mar 2020
Nina Boyarchenko, Lars Christian Larsen and Paul Whelan
Federal Reserve Bank of New York, Copenhagen Business School and Copenhagen Business School
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Equity Risk, Intraday Immediacy, Inventory management, Overnight Returns