[second--shift]

> Fortunately, the other sentences in footnote 78 contain no words that start with v, so we should be able to take them at face volume.

Savage.

I saw lots of charts & graphs & flashy wordsmithing, but I didn't actually see any evidence or examples of firms doing unscrupulous trades.

I'm not an expert, but I know better than to dish it out better than I can take it. My opinion is that these "exemplary" market returns are simply the result of markets being open only part of the day: between 0930h and 1600h there's liquidity to buy/sell your position at any time, for the prevailing price. Markets are open only 7h of the day but 24h worth of events takes place each day.

The other elephant in the room is that all market participants know the trading hours. Much news, releases, events, etc. happen outside of the liquid trading hours, resulting in discrete jumps between the close of one day and the open of another.

These are also cumulative returns over a huge timespan: everybody knows the fed can crash the markets mid-day with the wrong jawboning. the reverse price effect can also be true, resulting in huge open-to-close changes.

[tome]

> between 0930h and 1600h there's liquidity to buy/sell your position at any time, for the prevailing price. Markets are open only 7h of the day but 24h worth of events takes place each day.

Yes indeed. The author claims that there is less risk in overnight positions than in intra-day positions. I think there's more. Firstly more time passes overnight and secondly the lack of liquidity means you can't unwind overnight positions if you need to.