{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,8,14]],"date-time":"2026-08-14T22:32:20Z","timestamp":1786746740264,"version":"build-2736575974"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":10,"publisher":"Elsevier BV","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>I compare the adverse-selection component of the effective spread between Blue Ocean ATS (BOATS), the leading venue for 8pm to 4am Eastern overnight trading in U.S. equities, and NASDAQ regular trading hours, using nanosecond-resolution order book data on 30 actively-traded symbols over 24 matched sessions from September 2025 through March 2026. Effective spreads overnight average 7 cents per share higher, and the 10-second price impact component averages 2.4 cents per share higher (both t &amp;gt; 4 with stock fixed effects and clustered standard errors). Only about one-third of the overnight spread premium reflects adverse selection; the balance reflects wider quoted spreads in a single-venue continuous market operating without the competitive liquidity provision of regular hours. Cross-sectional analysis shows that retail-popular stocks exhibit overnight premia roughly 60% smaller than other stocks, and that exchange-traded funds exhibit larger price-impact premia consistent with the loss of underlying-basket arbitrage when the underlying market is closed. The overnight premium is not driven by high-volatility days; if anything, the effective-spread ratio narrows when realised volatility is high. These findings suggest that the overnight execution-cost premium is primarily structural rather than informational, and that retail participation partially substitutes for institutional liquidity provision during overnight hours.<\/jats:p>","DOI":"10.2139\/ssrn.6610883","type":"posted-content","created":{"date-parts":[[2026,4,20]],"date-time":"2026-04-20T16:39:53Z","timestamp":1776703193000},"source":"Crossref","is-referenced-by-count":0,"title":["Overnight Adverse Selection: Evidence from Blue Ocean ATS and NASDAQ Regular Trading Hours"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0005-8477-9393","authenticated-orcid":true,"given":"Boon Chuan","family":"Lim","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","reference":[{"key":"ref1","article-title":"Trading volume, illiquidity and commonalities in FX markets","author":"Y H Barardehi","year":"2023","journal-title":"Review of Finance"},{"issue":"4","key":"ref2","doi-asserted-by":"crossref","first-page":"1041","DOI":"10.1093\/rfs\/hhg030","article-title":"Price discovery and trading after hours","volume":"16","author":"M J Barclay","year":"2003","journal-title":"Review of Financial Studies"},{"issue":"5","key":"ref3","doi-asserted-by":"crossref","first-page":"839","DOI":"10.1016\/j.jempfin.2008.03.001","article-title":"A comparison of trading and non-trading mechanisms for price discovery","volume":"15","author":"M J Barclay","year":"2008","journal-title":"Journal of Empirical Finance"},{"issue":"3","key":"ref4","doi-asserted-by":"crossref","first-page":"233","DOI":"10.1016\/S1386-4181(02)00064-2","article-title":"Issues in assessing trade execution costs","volume":"6","author":"H Bessembinder","year":"2003","journal-title":"Journal of Financial Markets"},{"issue":"5","key":"ref5","doi-asserted-by":"crossref","first-page":"2249","DOI":"10.1111\/jofi.13033","article-title":"Tracking retail investor activity","volume":"76","author":"E Boehmer","year":"2021","journal-title":"Journal of Finance"},{"issue":"2","key":"ref6","doi-asserted-by":"crossref","first-page":"502","DOI":"10.1016\/j.jfineco.2022.08.002","article-title":"Retail trader sophistication and stock market quality: Evidence from brokerage outages","volume":"146","author":"G W Eaton","year":"2022","journal-title":"Journal of Financial Economics"},{"issue":"4","key":"ref7","doi-asserted-by":"crossref","first-page":"995","DOI":"10.1093\/rfs\/10.4.995","article-title":"The components of the bid-ask spread: A general approach","volume":"10","author":"R D Huang","year":"1997","journal-title":"Review of Financial Studies"},{"issue":"6","key":"ref8","doi-asserted-by":"crossref","first-page":"1303","DOI":"10.1017\/S002210901200049X","article-title":"Information content of earnings announcements: Evidence from after-hours trading","volume":"47","author":"C X Jiang","year":"2012","journal-title":"Journal of Financial and Quantitative Analysis"},{"issue":"2","key":"ref9","doi-asserted-by":"crossref","first-page":"733","DOI":"10.1111\/j.1540-6261.1991.tb02683.x","article-title":"Inferring trade direction from intraday data","volume":"46","author":"C M C Lee","year":"1991","journal-title":"Journal of Finance"},{"issue":"4","key":"ref10","doi-asserted-by":"crossref","first-page":"1035","DOI":"10.1093\/rfs\/10.4.1035","article-title":"Why do security prices change? A transaction-level analysis of NYSE stocks","volume":"10","author":"A Madhavan","year":"1997","journal-title":"Review of Financial Studies"}],"container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,8,14]],"date-time":"2026-08-14T21:53:08Z","timestamp":1786744388000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=6610883"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":10,"URL":"https:\/\/doi.org\/10.2139\/ssrn.6610883","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}