Existing theoretical models indicate that intraday patterns on stock exchanges are caused by the strategic interaction of informed and liquidity traders. Using unique data from the Helsinki Stock Exchange, which allows individual trades to be attributed to informed and liquidity traders, this...

Prior evidence concerning momentum in Australian equity returns has produced inconsistent results. This study examines the interaction between momentum and firm size. Specifically, we report that momentum returns are significant only for larger portfolios, and that this finding explains the...