Abstract

  
 

References (20)



 


 



Are You Trading Predictably?


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

Lewis D. Thorson


University of Washington - Foster School of Business
September 2, 2010


Abstract:     
We find predictable patterns in stock returns. Stocks whose relative returns are high in a given half-hour interval today exhibit similar outperformance in the same half-hour period on subsequent days. The effect is stronger at the beginning and end of the trading day. These results suggest that strategically shifting the timing of trades can significantly reduce execution costs for institutional traders.

Number of Pages in PDF File: 19

Keywords: Trading, Microstructure, Periodicity, Anomaly

JEL Classification: G10, G12, G14

working papers series


Download This Paper

Date posted: June 5, 2010 ; Last revised: September 5, 2010

Suggested Citation

Heston, Steven L., Korajczyk, Robert A., Sadka, Ronnie and Thorson, Lewis D., Are You Trading Predictably? (September 2, 2010). Available at SSRN: http://ssrn.com/abstract=1621044 or http://dx.doi.org/10.2139/ssrn.1621044

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 (Contact Author)
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
Boston College - Carroll School of Management ( email )
140 Commonwealth Avenue
Chestnut Hill, MA 02467
United States
Lewis D. Thorson
University of Washington - Foster School of Business ( email )
Box 353200
Seattle, WA 98195-3200
United States
206-543-7125 (Phone)
206-685-9392 (Fax)
HOME PAGE: http://www.foster.washington.edu/
Feedback to SSRN (Beta)


Paper statistics
Abstract Views: 6,852
Downloads: 1,134
Download Rank: 7,526
References:  20

© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright
This page was processed by apollo6 in 0.453 seconds