Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 20, 2022 erstellt
Beschreibung:
Based on intraday data for a large cross section of individual stocks, we find that the risk component of stock returns exhibits strong intraday momentum, and this pattern holds from previous market close to 10:00, and every half hour since then until market close at 16:00. Strikingly, the return on the long-short tradable spread portfolio sorted by the risk component exhibits a similar return momentum, which is the first cross-sectional return momentum in the intraday literature. The risk-based momentum effect is strong, generating an annualized return around 40% before transaction cost for a strategy based on last 30-minute to one-day risk with a one-day holding period. The effect lasts up to five days and is stronger in the mornings, during periods with more frequent firm news arrivals, when aggregate idiosyncratic volatility is high, and among stocks with higher risk concentration. The risk-based momentum can be explained by limits to arbitrage that allow arbitrageurs to correct mispricing only gradually