There is as yet no consensus on why equity markets permit momentum, although the literatureproposes several explanations. Our analysis uses out-of-sample international datato consider a “horse race” across existing empirical proxies for momentum rationales usedby earlier studies. Our central...

The closing auction has experienced significant growth over the last decade, and it has become increasingly important to traders. We find that the price impact in closing auctions in the US is significantly smaller than that in continuous markets. The opening auctions are relatively less active...