This paper examines the profitability of momentum strategies implemented on international stock market indices. Our results indicate statiscally significant evidence of momentum profits. The momentum profits arise mainly from time-series predictability in stock market indices—very little...

We study the intraday behavior of bid-ask spreads for actively traded CBOE options and for their NYSE-traded underlying stocks. We confirm previous findings that stocks have a U-shaped spread pattern; however, the options display a very different intraday pattern—one that declines sharply...