Momentum During Intraday. Trading Evidence from US NASDAQ

Abstract: Both momentum and contrarian strategies have shown to provide investors with high risk-adjusted returns when applied on daily, weekly and monthly data. This study examines the effect of the underreaction phenomenon on the US NASDAQ stock market between November 2016 and February 2017. I implement a simple relative strength strategy, which identifies the strongest and weakest performing stocks and invest in the assets momentum. The portfolios formed yields abnormal risk-adjusted returns during mid-day trading when applied to intraday data. These abnormal returns are consistent when market frictions are low, and after testing for market, size and value factors.