Understanding intraday momentum strategies
研究了日内动量策略的样本外表现，发现隔夜收益对最后半小时收益的预测性在样本外消失，马尔可夫转换模型识别出两种状态，表明预测性取决于信号强度，基于阈值的策略比始终活跃的策略收益更高。
Abstract This paper studies the out‐of‐sample performance of the intraday momentum strategy where the overnight return predicts the return of the last half‐hour of trading. The predictability disappears in the out‐of‐sample period. A Markov‐switching model endogenously identifies two distinct regimes and suggests that the predictability depends on the strength of the signal. Hence, assessing return predictability in calendar time may lead to false conclusions when anomalies feature time‐varying returns. The paper documents that understanding the return dynamics is important for an effective strategy implementation. A strategy with thresholds delivers higher returns than a strategy that is always active.