000			01314nam a22001697a 4500
008			190323b xxu||||| |||| 00| 0 eng d
022			_a0304-405X
245			_aMarket intraday momentum / by Lei Gao, Yufeng Han, Sophia Zhengzi Li & Guofu Zhou _cLei Gao, Yufeng Han, Sophia Zhengzi Li & Guofu Zhou
300			_aPages 394-414
440			_aJournal of Financial Economics _v129 (2) _x0304-405X
500			_aAbstract Based on high frequency S & P 500 exchange-traded fund (ETF) data from 1993–2013, we show an intraday momentum pattern: the first half-hour return on the market as measured from the previous day’s market close predicts the last half-hour return. This predictability, which is both statistically and economically significant, is stronger on more volatile days, on higher volume days, on recession days, and on major macroeconomic news release days. Intraday momentum also exists for ten other most actively traded domestic and international ETFs. Theoretically, the intraday momentum is consistent not only with Bogousslavsky’s (2016) model of infrequent portfolio rebalancing but also with a model of late-informed trading near the market close.
690			_aHigh frequency trading
690			_aOvernight return
690			_aIntraday
690			_aPredictability
942			_2lcc _cSE
999			_c361368 _d361368