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Are You Trading Predictably?

19 Pages Posted: 5 Jun 2010 Last revised: 5 Sep 2010

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

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Date Written: 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.

Keywords: Trading, Microstructure, Periodicity, Anomaly

JEL Classification: G10, G12, G14

Suggested Citation

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

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 )

Kellogg School of Management
2211 Campus Drive, Room 4357
Evanston, IL 60208
United States
847-491-8336 (Phone)
847-491-5719 (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

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/

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