KUDRYAVTSEV, Andrey - In: Theoretical and Applied Economics XVIII(2013) (2013) 11(588), pp. 53-72
' opening returns. I analyze intraday price data on thirty stocks currently making up the Dow Jones Industrial Index. Employing … two alternative proxies for the general market opening returns, I document that if the previous day's market and … individual stock's opening returns are taken together to explain the stock's opening returns, then the effect of the lagged …