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The Intra-Day Stock Return Periodicity Puzzle

SMU Cox School of Business Research Paper No. 25-35

61 Pages Posted: 19 Nov 2025

See all articles by Charlotte Haendler

Charlotte Haendler

Southern Methodist University (SMU) - Finance Department

Steven L. Heston

- Department of Finance

Robert A. Korajczyk

Northwestern University - Kellogg School of Management

Ronnie Sadka

Boston College - Carroll School of Management

Date Written: November 14, 2025

Abstract

Heston et al. (2010) find puzzling intra-day patterns in stock returns, which are particularly strong at the beginning and end of the trading day. We demonstrate the patterns persist out-of-sample and test several explanatory variables, including trading frictions and proxies for trader type. They jointly explain all the open and midday periodicity, and up to 30% of the closing interval periodicity. Our proxies for institutional trading-changes in lendable shares, VWAP-like trading, and index inclusion-are the most significant explanatory variables. Overall, the results suggest that open periodicity is driven by VWAP trading while close periodicity by market-on-close trading.

Keywords: Return periodicity, Market Microstructure JEL Codes: G12, Momentum

Suggested Citation

Haendler, Charlotte and Heston, Steven L. and Korajczyk, Robert A. and Sadka, Ronnie, The Intra-Day Stock Return Periodicity Puzzle (November 14, 2025). SMU Cox School of Business Research Paper No. 25-35, Available at SSRN: https://ssrn.com/abstract=5749704 or http://dx.doi.org/10.2139/ssrn.5749704

Charlotte Haendler

Southern Methodist University (SMU) - Finance Department ( email )

United States

Steven L. Heston

- 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 )

2211 Campus Drive, Room 4357
Evanston, IL 60208-0898
United States
847-491-8336 (Phone)
847-491-7781 (Fax)

HOME PAGE: http://www.kellogg.northwestern.edu/faculty/directory/korajczyk_robert.aspx#research

Ronnie Sadka

Boston College - Carroll School of Management ( email )

140 Commonwealth Avenue
Chestnut Hill, MA 02467
United States

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