Harland (2004) concludes that "[i]f one were going to go long on the open, based on some other strategy, it would clearly be inadvisable to do so if the stock gapped up substantially on the open." (Gaps work, but not after transaction costs.)
Tenorio, Pedreira and Roehl consider gaps
HARLAND, Zac, 2004. Opening Gaps: To Trade or not to Trade?, pp 50–55, Traders', January/February 2004.
TENORIO, Manoel F., Carlos E. PEDREIRA and Nitzi M. ROEHL, The Cotton Time Series: A Study of the Competition Series Behavior and Statistics, Nonlinear Financial Forecasting - Proceedings of the First INFFC, edited by Randall B. Caldwell