Sten Lammers

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

P.O. Box 1738

3000 DR Rotterdam, NL 3062 PA

Netherlands

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Hedging Demand and Market Intraday Momentum

Journal of Financial Economics (JFE), Volume 142, Issue 1, October 2021, Pages 377-403
Number of pages: 60 Posted: 26 Jan 2021 Last Revised: 24 Nov 2021
Erasmus University Rotterdam (EUR), University of Notre Dame - Mendoza College of Business, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam
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Abstract:

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Return momentum, Futures trading, Hedging demand, Return Predictability, Indexing