Heterogeneous Liquidity Providers and Night-minus-day Return Predictability

Published: 2 March 2023| Version 1 | DOI: 10.17632/9vnz5y9yzy.1
Contributors:
Zhongjin Lu, Steven Malliaris, Zhongling Qin

Description

Replication package for "Heterogeneous Liquidity Providers and Night-minus-day Return Predictability" by Lu, Malliaris, and Qin

Files

Steps to reproduce

Detailed replication steps are described in the following files contained in the zipped replication package: README_1_overallguide_readthisfirst.txt README_2_datasetconstruction.txt README_3_tablesandfigures.txt

Institutions

University of Georgia

Categories

Finance, Asset Pricing, Market Microstructure

Funding

University of Georgia

Terry-Sanford Research Awards

Licence