What it means
A stock can rise overnight and fall during regular trading hours, so looking only at its closing price relative to yesterday's close hides those separate movements. Intraday return helps show when the price change occurred.
The reference points must be consistent, so identify the exchange, session, opening observation and closing observation, because a different session boundary or an alternative opening-price measure can produce a different figure. The opening observation might be an opening auction price or another specified market-data measure, and researchers can use the first trade, quoted midpoint or an early-session volume-weighted price.
Those measures should not be mixed without explaining the difference. Intraday return is a measurement, not a trading strategy: a long-term holder experiences that day's price movement even without making a trade, while day trading describes opening and closing positions within a day.
It is also not automatically the trader's actual investment return, because someone buying after the open and selling before the close has different entry and exit prices. Fees, spreads, financing and position changes can further separate account performance from the benchmark price move.
Corporate actions require attention too, since splits or distributions can make raw prices across sessions misleading, so use a documented adjustment method and distinguish a price-return calculation from a total-return calculation that includes distributions. For ordinary simple price returns, overnight and intraday components combine multiplicatively, and adding the percentages omits their interaction.
A rise overnight followed by a fall during the day can therefore leave a small loss rather than exactly cancelling. Historical research does not establish one permanent rule about which session contributes more.
Lou, Polk and Skouras study different overnight and intraday patterns across strategies, markets and samples, and their findings are evidence from particular data, not a promise of profitable trading. A manager reviewing performance should ask what period and price series a chart uses.
Daily can mean close-to-close while intraday usually isolates the regular session. The label should match the calculation rather than the presenter's preferred story.
In practice
Real-world examples.
Example
A stock opens at $50 and closes at $51. Its regular-session price return is $1 / $50 = 2%, regardless of whether a shareholder actually bought at the open or traded during the session.
Example
A share closes at $100, opens the next day at $105, and finishes at $103. It has a positive overnight return of 5% but a negative intraday return of about -1.9%, while its close-to-close return is a positive 3%.
Example
Two analysts compare performance using different opening measures. One uses the opening auction and the other uses an early-session average. They align their data definitions before attributing the difference to a trading model.
Formula
Calculation
Simple intraday price return = (closing price / opening price) - 1. Multiply by 100 to express the result as a percentage. Overnight return uses today's open divided by the previous close, minus 1.
With consistent unadjusted prices and no intervening distribution, 1 + close-to-close return = (1 + overnight return) x (1 + intraday return).
For a previous close of $100, an open of $110 and a close of $99, overnight return is $110 / $100 - 1 = 10% and intraday return is $99 / $110 - 1 = -10%. The daily return is 1.10 x 0.90 - 1 = -1%, which matches $99 / $100 - 1. The interaction explains why adding 10% and -10% to get zero gives the wrong answer.Case study
Seen in the real world.
This fictional case follows a treasury analyst reviewing a dashboard for a small equity allocation. The dashboard shows a positive daily return, while a separate chart shows a negative intraday return. The analyst checks the price timestamps and discovers that the stock rose before regular trading began, then fell between the open and close. Neither chart is necessarily wrong; they measure different intervals.
She reconciles the two components using multiplication and checks the data provider's split and distribution adjustments. She also confirms that the portfolio's trades occurred after the open, so its actual account return is not identical to the full-session measure. The revised report names each interval and separates market-price performance from account performance. Management can now see the timing without mistaking a descriptive pattern for a trading recommendation.
Watch out
Common mistakes.
- Adding overnight and intraday percentage returns instead of compounding consistent simple returns.
- Treating the opening-to-closing market move as the realised net return of every trader or shareholder.
- Assuming a historical research finding applies to every stock, strategy, session definition, and future period.
Questions
People also ask.
Is intraday return the same as daily return?
Not necessarily. Intraday normally means open-to-close, while a daily series often measures previous-close to current-close. Check the stated endpoints.
Does it include dividends?
A plain price calculation does not automatically include distributions. Total-return analysis requires an explicit method for including them and adjusting the data.
Must a position be sold to calculate it?
No. It measures the asset's session price change. A sale is relevant to realised trading profit, which is a different calculation.
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