Are You Trading Predictably?
Steven L. Heston
University of Maryland - Department of Finance
Robert A. Korajczyk
Northwestern University - Kellogg School of Management
Boston College - Carroll School of Management
Lewis D. Thorson
University of Washington - Foster School of Business
April 11, 2011
Financial Analysts Journal, Vol. 67, No. 2, 2011
The authors find predictable patterns in stock returns. Stocks whose relative returns are high in a given half hour today exhibit similar outperformance in the same half hour on subsequent days. The effect is stronger at both the beginning and the end of the trading day. These results suggest that strategically shifting the timing of trades can significantly reduce execution costs for institutional traders.
Keywords: Behavioral Finance, Institutional Investor Decision Making; Equity Investments, Performance Measurement and Evaluation, Specific Investor Issues, Institutional Investors, Portfolio Management: Equity Portfolio Management StrategiesAccepted Paper Series
Date posted: April 13, 2011
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