We document strong intraday market return predictability based on lagged high-frequencycross-sectional returns of the factor zoo. Our results rely crucially on LASSO to regularize our predictive regressions along with techniques from financial econometrics to differentiate between continuous and...

The last 60 years of research striving to explain the post-earnings announcement drift (PEAD) have resulted in numerous potential explanations. This ”zoo” of explanations, limited academic consensus, and a literature relying on thousands of earnings announcement make researchers able to...

We provide strong empirical evidence for time-series predictability of the intraday return on the aggregate market portfolio based on lagged high-frequency cross-sectional returns from the factor zoo. Our results rely crucially on the use of modern Machine Learning techniques to regularize the...