Intraday Stock Returns from Noise Reversals
April 5, 2024 - Fundamental Valuation
Can investors reliably capture illiquidity-driven stock price noise, short-term deviations in price from some measurable fair value? In their February 2024 paper entitled “Intraday Residual Reversal in the U.S. Stock Market”, Jonathan Brogaard, Jaehee Han and Hanjun Kim investigate returns to a strategy that exploits reversals of short-lived noise in stock prices by buying (selling)… Keep Reading