Replication Data: Heterogeneous Liquidity Providers and Night-Minus-Day Return Predictability
Creators:
Zhongjin Lu, Steven Malliaris, and Zhongling Qin
Publication Date:
2023-03-02
Data Category:
Dataset Description:
This dataset, hosted on Mendeley Data, contains the replication data for the study "Heterogeneous Liquidity Providers and Night-Minus-Day Return Predictability" (Lu, Malliaris & Qin, 2023, Journal of Financial Economics). It includes high-frequency trading and order flow data used to examine how differences among liquidity providers, such as market makers and other traders, during overnight versus intraday periods generate predictable patterns in stock returns, with implications for market microstructure and asset pricing.
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