This paper investigates statistical properties of high-frequency intraday stock returns across various frequencies. Both time series and panel data are utilized to explore the properties of probability distribution, dynamic conditional correlations, and scaling analysis in Dow Jones Industrial...

Purpose – The purpose of this paper is to examine positive‐feedback (PF) behavior and its relationship to momentum profitability and information uncertainty. Design/methodology/approach – Using the behavioral function of rational traders and feedback traders, the authors jointly estimate...