Heterogeneous liquidity providers and night-minus-day return predictability
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DOI: 10.1016/j.jfineco.2023.03.002
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More about this item
Keywords
Fast and slow arbitrageurs; Return predictability; Overnight and intraday returns; Endogenous limited participation; Liquidity provision;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
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