Abstract

  


 



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
April 11, 2011

Financial Analysts Journal, Vol. 67, No. 2, 2011

Abstract:     
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 Strategies

Accepted Paper Series


Date posted: April 13, 2011  

Suggested Citation

Heston, Steven L., Korajczyk, Robert A., Sadka, Ronnie and Thorson, Lewis D., Are You Trading Predictably? (April 11, 2011). Financial Analysts Journal, Vol. 67, No. 2, 2011. Available at SSRN: http://ssrn.com/abstract=1807266

Contact Information

Steven L. Heston (Contact Author)
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
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)


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