Kudryavtsev, Andrey - In: International Economic Journal 28 (2014) 3, pp. 445-458
In this study, I make an effort to formulate a trading rule that would make use of some systematic interday patterns in individual stocks' opening returns. I analyze intraday price data on all the stocks that were S&P 500 Index constituents during the period from 1993 to 2012. I document that if...