Abstract

http://ssrn.com/abstract=1107590
 
 

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Intraday Patterns in the Cross-Section of Stock Returns


Steven L. Heston


University of Maryland - Department of Finance

Robert A. Korajczyk


Northwestern University - Kellogg School of Management

Ronnie Sadka


Boston College - Carroll School of Management

May 26, 2010


Abstract:     
Motivated by the literature on investment flows and optimal trading, we examine intraday predictability in the cross-section of stock returns. We find a striking pattern of return continuation at half-hour intervals that are exact multiples of a trading day, and this effect lasts for at least 40 trading days. Volume, order imbalance, volatility, and bid-ask spreads exhibit similar patterns, but do not explain the return patterns. We also show that short-term return reversal is driven by temporary liquidity imbalances lasting less than an hour and bid-ask bounce. Timing trades can reduce execution costs by the equivalent of the effective spread.

Number of Pages in PDF File: 59

Keywords: Return periodicity, Market Microstructure

JEL Classification: G12, G14

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Date posted: June 17, 2009 ; Last revised: May 27, 2010

Suggested Citation

Heston, Steven L. and Korajczyk, Robert A. and Sadka, Ronnie, Intraday Patterns in the Cross-Section of Stock Returns (May 26, 2010). Available at SSRN: http://ssrn.com/abstract=1107590 or http://dx.doi.org/10.2139/ssrn.1107590

Contact Information

Steven L. Heston
University of Maryland - Department of Finance ( email )
Robert H. Smith School of Business
Van Munching Hall
College Park, MD 20742
United States
Robert A. Korajczyk
Northwestern University - Kellogg School of Management ( email )
2001 Sheridan Road
Evanston, IL 60208
United States
847-491-8336 (Phone)
847-491-5719 (Fax)
Ronnie Sadka (Contact Author)
Boston College - Carroll School of Management ( email )
140 Commonwealth Avenue
Chestnut Hill, MA 02467
United States
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