We document that the first and third cross-sectional moments of corporate bond returns significantly and positively predict future stock market returns both in- and out-of-sample. The predictability emerges from informed bond trading and gradual diffusion of information. Particularly, the...

Our research on data for the S&P 500 ETF from 1993-2013 documents an intraday momentum pattern: the first half-hour return on the market (from the previous day's close) predicts the last half-hour return. The predictability, both statistically and economically significant, is stronger on more...