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File name: SSRN-id1670992. ; Size: 120K
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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
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Date posted: June 5, 2010
; Last revised: September 5, 2010
Suggested CitationHeston, 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
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