Are You Trading Predictably?
19 Pages Posted: 5 Jun 2010 Last revised: 5 Sep 2010
Date Written: September 2, 2010
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: Suggested Citation