Interesting Paper http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2440866 Abstract: In this paper, using intraday data from January 4, 1999 to December 31, 2012, we document an intraday momentum pattern that the first half-hour return on the market predicts the last half-hour return on the market. The predictability is both statistically and economically significant, and is stronger on more volatile days, recession days and some macroeconomic news release days. We interpret the trading behavior of daytraders and informed traders as the economic driving forces behind the intraday momentum. Conc ...The intraday predictability is statistically significant both in- andout-of-sample. In terms of market timing and asset allocation, the economic gains of using the predictability are substantial too. In addition, we find that the intraday momentum is stronger on high volatile days, recession days, and some macroeconomic news release days. We interpret the trading behavior of daytraders and informed traders as the economic driving forces behind the intraday momentum...