Interday Cross-Sectional Momentum: Global Evidence and Determinants
We examine whether half-hour returns predict half-hour returns on subsequent days at the firm level, using a novel set of high-frequency data on firms that constitute the stock market indices of nine developed markets. We show that interday cross-sectional momentum (ICSM) exists in all markets of ou...
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| Hoofdauteurs: | , |
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| Formaat: | Article ou chapitre numérique |
| Taal: | Français |
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2026
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| Onderwerpen: | |
| Online toegang: | Accès Université d'Orléans et IFPM Accès Université d'Orléans et IFPM |