Intraday price reversals in the US stock index futures market: A 15-year study
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- Ederington, Louis H. & Lee, Jae Ha, 1995. "The Short-Run Dynamics of the Price Adjustment to New Information," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(01), pages 117-134, March.
- Cornell, Bradford, 1985. " The Weekly Pattern in Stock Returns: Cash versus Futures: A Note," Journal of Finance, American Finance Association, vol. 40(2), pages 583-88, June.
- Frino, Alex & Hill, Amelia, 2001. "Intraday futures market behaviour around major scheduled macroeconomic announcements: Australian evidence," Journal of Banking & Finance, Elsevier, vol. 25(7), pages 1319-1337, July.
- French, Kenneth R. & Roll, Richard, 1986. "Stock return variances : The arrival of information and the reaction of traders," Journal of Financial Economics, Elsevier, vol. 17(1), pages 5-26, September.
- Chan, K C, 1988. "On the Contrarian Investment Strategy," The Journal of Business, University of Chicago Press, vol. 61(2), pages 147-63, April.
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