<p>This study examines the impact of high-frequency trading patterns on daily returns in the Indian market, which has witnessed exceptional retail intraday trading. Intraday underreaction and overreaction are estimated using a novel measure of efficiency, speed of price adjustment to information, which is robust against non-trading bias. The results show a significant and positive relationship between intraday overreaction and next-day daily returns. The speed of price adjustment factor, with intraday overreaction as the long leg and intraday underreaction as the short leg carries a positive premium. Furthermore, this premium cannot be explained by market, size, value, momentum, or illiquidity factors. This factor also explains the returns of one-fourth of the portfolios in twenty-five size-value sorted portfolios within the Fama-French test framework. Several versions of these strategies consistently show that intraday overreactions are always more profitable than underreactions. The findings are highly relevant for short-term traders and investment managers.</p>