The study you cited seems to be exaggerating slightly.
1) "An interesting fact of returns is that all of the stock returns since 1993 are from overnight returns" -> This is simply factually incorrect. Why don't you pick the S&P 500 names, you calculate the log returns taking into account price changes from the open to the close, then you do the same for the close-open, you will notice that the chart on that website MUST be incorrect. Returns during the US trading sessions contributed much more returns than indicated in this study.
2) "If you take all the tickers, the top 1000 non-etfs over the past 2 years, and rank them by prior daily volatility, and then look at their overnight returns, you see that volatility is strongly positively correlated with subsequent overnight returns, which then reverse over the next day session." -> Also that does not seem to be accurate (such results with such low p-value). I ran the same study over a small subset of names of different sectors and groups and nowhere find such clean delineation.
I cannot prove my point other than encourage those who want to make sure to simply run their own studies. Its extremely simple to run in R, you even get the price data off several websites free of charge.