Journal of Financial Economics, 145(1), 217-238
The Review of Financial Studies, 35(7), 3272–3302
Journal of Financial Economics, 134 (1), 192-213.
We decompose the abnormal profits associated with well-known patterns in the cross-section of expected returns into their overnight and intraday...
We propose a novel measure of arbitrage activity to examine whether arbitrageurs can have a destabilizing effect in the stock market. We apply our...