Cross-Section of Stock Returns Predicted by Commitment of Traders Information
Log in to collectAcademic paper
Is There Smart Money? How Information in the Futures Market Gets Priced into the Cross-Section of Stock Returns with Delay
Steven Wei Ho; Alexandre R. Lauwers
Columbia University- Columbia University, Graduate School of Arts and Sciences, Department of Economics
University of Geneva- Graduate Institute of International and Development Studies
- University of Geneva - Graduate Institute, Geneva (IHEID)
This strategy is gated
A paid plan unlocks the full write-up, rules, Python, and trade lists. About 20% of the library stays free.