I examine overnight and intraday expected returns in Finnish stock markets from 2010 to the end of 2019. I study the performance, firm size, and investment timing effect on overnight and intraday expected returns and return continuation at the portfolio level. I provide new evidence on how overnight and intraday returns act on Finnish stock markets by constructing 18 value-weighted and equal-weighted portfolios based on their past overnight and intraday returns. Then I measure their performance by observing the different return components (overnight/intraday/close-to-close) throughout the observation period. I found that overnight sorted portfolios that capture overnight returns, and intraday sorted portfolios that capture intraday returns yield abnormal returns, excluding transaction costs, but including transaction costs would most likely fade away these positive alphas. Furthermore, the smaller firm size increases the volatility of overnight and intraday returns. Finally, a more extended lookback period tends to decrease overnight premiums and increase intraday premiums.
