The End-of-Day Reversal After 2019: A Pre-Registered Test on S&P 500 Stocks Excluding Heavily Traded Names

• Alex Vidovich · Independent researcher · alexvidovich.com
• Zivana Zerjal · Independent researcher · zivanazerjal.com

November 6, 2026 · 15 pages · Working paper · submitted to arXiv and SSRN

Abstract

Baltussen, Da and Soebhag (2025) document an end-of-day reversal in U.S. stocks through December 2019: intraday losers outperform intraday winners over the last half hour of trading. We test it on later data, on point-in-time S&P 500 members excluding about 80 heavily traded stocks we had examined in earlier, unpublished work. Under a private pre-registration, the 2016–2019 data had to reproduce the published sign before any statistic linking the sort to the outcome was computed on later primary-sample data. Measured to the last trade before the closing auction, the dollar-volume-weighted reversal is 3.13 bps per day (t = 7.5) in 2016–2019 and 3.05 bps (t = 3.0) in 2023–2026, with a one-sided 95% bound on the decline of 61%. The result depends on the window: the reversal is indistinguishable from zero in 2020–2022, 2023 carries much of the later estimate, and from 2020 onward it is 1.69 bps (t = 2.3), with a bound of 91%. A proxy sample, added after the run, gives 2.81 and 3.86 bps. On the full index the reversal falls from 3.40 to 0.74 bps (t of the change −1.83, short of the registered bar of −3); descriptive comparisons concentrate this weakness in the very largest stocks. No pre-registered mechanism test passes.

Keywords: end-of-day reversal, intraday returns, closing auction, out-of-sample replication, pre-registration, leveraged ETFs, 0DTE options

JEL classification: G12, G14, C12

@techreport{vidovich2026eod,
  title   = {The End-of-Day Reversal After 2019: A Pre-Registered Test on S&P 500 Stocks Excluding Heavily Traded Names},
  author  = {Alex Vidovich and Zivana Zerjal},
  year    = {2026},
  month   = {11},
  type    = {Working paper},
  institution = {alexvidovich.com},
  url     = {https://alexvidovich.com/papers/eod-reversal},
}