Do Cross-Sectional Predictors Contain Systematic Information?
Joseph Engelberg, R. David McLean, Jeffrey Pontiff, and Matthew C. Ringgenberg Firm-level variables that predict cross-sectional stock returns, such as price-to-earnings and... Learn More
Market Return Around the Clock: A Puzzle
Oleg Bondarenko and Dmitriy Muravyev We study how the market return depends on the time of the day using E-mini S&P 500... Learn More