Papers we didn't just read — we ran them through the machinery. Each entry carries a field report.

This is the paper we have spent the most research hours interrogating, and the field report is two-sided.

As a lens, it is permanently adopted. Decomposing every diagnostic into overnight and intraday components — the paper's basic move — changed how we read our own results: several behaviors that look like noise in close-to-close terms resolve into clean structure once the clock is split. The clientele framing also gives the most convincing answer we know to the question every systematic researcher gets asked: why would an edge survive being published? Because the other side of the trade is not uninformed — it is institutionally committed to trading at a particular time of day, and that commitment does not read papers.

As a timing overlay, it did not convert — for us. Overlays motivated by the paper's smoothed overnight-minus-intraday spread went through our standard protocol and no admissible configuration produced a single qualifying event out of sample (working note No. 9 records the funeral). We stress the scope of that sentence: our horizon, our instruments, our admission rules. The phenomenon in the paper is documented at monthly horizons on broad cross-sections; our failure to convert it says nothing about the paper's claims and a great deal about the distance between a documented premium and an adoptable signal.

Reading advice for practitioners: the introduction, Fig. 2, and Table 2 carry the argument; the international replication is the underrated part — nine markets with the same anatomy is the kind of robustness no backtest of ours will ever have.