Intraday Market Return Predictability Culled from the Factor Zoo
Published Online:2 Jan 2025https://doi.org/10.1287/mnsc.2023.01657
Supplemental Material
The replication files for this article are available HERE.
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Volume 71, Issue 9
September 2025
Pages vii-x, 7223-8095, iv-vi
Article Information
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- Received:June 01, 2023
- Accepted:June 11, 2024
- Published Online:January 02, 2025
Copyright © 2025, INFORMS
Cite as
Saketh Aleti, Tim Bollerslev, Mathias Siggaard (2025) Intraday Market Return Predictability Culled from the Factor Zoo. Management Science 71(9):7731-7751.
https://doi.org/10.1287/mnsc.2023.01657
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The authors thank the editor (Kay Giesecke) and three anonymous referees for their helpful and constructive comments. The authors also thank Peter R. Hansen, Andrew Patton, and participants at various seminars and conferences for their useful comments and suggestions.
