We provide detailed guidelines and code to derive high quality international equity data from Thomson Reuters Datastream (TDS) data. Our approach increases stock and country coverage (to 91 countries), improves data accuracy, filters problematic data and reduces survivorship bias and data staleness. We validate our approach by demonstrating that our U.S. TDS factors are statistically and economically indistinguishable to standard Fama-French CRSP factors. On the other hand, when we compare our international factors to other publicly available international factors, differences are significant, so we justify and detail every aspect of our proposed guidelines. Our guidelines and accompanying code and data should be especially useful for international research focused on wide coverage, equal weighted portfolios, small stocks and countries with a limited number of stocks and for researchers wishing to analyze the US market with access to only TDS but not CRSP-Compustat data.

We link investor heterogeneity to the persistence of the overnight and intraday components of returns. We document strong overnight and intraday firm-level return continuation along with an offsetting cross-period reversal effect, all of which lasts for years. We look for a similar tug of war in the returns of 14 trading strategies, finding in all cases that profits are either earned entirely overnight (for reversal and a variety of momentum strategies) or entirely intraday, typically with profits of opposite signs across these components. We argue that this tug of war should reduce the effectiveness of clienteles pursuing the strategy. Indeed, the smoothed spread between the overnight and intraday return components of a strategy generally forecasts time variation in that strategy’s close-to-close performance in a manner consistent with that interpretation. Finally, we link cross-sectional and time-series variation in the decomposition of momentum profits to a specific institutional tug of war.