Are You Trading Predictably?
Posted: 13 Apr 2011
Date Written: April 11, 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 Strategies
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