Morning Momentum and Afternoon Reversal for Stock Returns
September 8, 2022 - Calendar Effects, Momentum Investing
Do morning and afternoon stock returns convey different meanings due to gradual dissipation of information asymmetry among traders during the trading day (as the market digests overnight news)? In their August 2022 paper entitled “A Tale of One Day: Morning Momentum, Afternoon Reversal”, Haoyu Xu and Xiaoneng Zhu investigate differences in implications for reversal and… Keep Reading