The paper provides a fresh look at the role of daytime auctions in intraday periodicity of stock returns. First, I show that daytime auctions, together with market opening and market closing intervals, drive the periodicity of stock returns. Second, by applying the model of infrequent...

Using a newly constructed survivorship-bias free dataset, I examine the performance and persistence of all Norwegian equity mutual funds that have been listed on the Oslo Stock Exchange between 1982 and 2008. Controlling for the factors in the Fama-French model, there is no statistically...