Overnight Stock Returns

Below are the annual logarithmic average and standard deviation of returns to some common stocks, and two primary ETFs, SPY and QQQ (percent returns look similar). I used as much data as every stock had, where IBM goes back to 1962, but QQQ starts in 1999. As you can see, the average returns for every stock except MSFT was significantly greater overnight than from open to close. In fact, on average, stocks had a negative return during trading hours, even though 2/3 of the 'risk' is intraday. This is yet another instance of how the theory that risk begets return is contradicted by reality.

Start Date	Ticker	Open-Close	Close-Open	stdev(O-C)	stdev(C-O)
1999	QQQ	-13%	14%	29%	16%
1993	SPY	-3%	10%	17%	10%
1984	AAPL	-13%	30%	41%	29%
2008	TNA	3%	43%	78%	46%
1986	YRCW	-25%	-1%	61%	30%
1986	MSFT	12%	10%	32%	21%
1962	IBM	2%	6%	22%	12%
	Avg.	-5%	16%	40%	23%

Tom Anichini has found this in several ETFs, see here.