Intraday Patterns in the Cross-section of Stock Returns
IntermediateIntradayEmpiricalFree to readTestable with your data
Returns in a given half-hour interval persist at the same time of day for weeks. A simple intraday seasonality signal.
At a glance
- Level
- Intermediate: Comfortable with statistics, regressions and basic probability models
- Horizon
- Intraday
- Data needed
- Intraday bars Set what data you have
- Themes
- Factors & momentum
- Assets
- Equities
- Market
- US