Are You Trading Predictably?

Posted: 13 Apr 2011

See all articles by Steven L. Heston

Steven L. Heston

University of Maryland - Department of Finance

Robert A. Korajczyk

Northwestern University

Ronnie Sadka

Boston College - Carroll School of Management

Lewis D. Thorson

University of Washington - Foster School of Business

Multiple version iconThere are 2 versions of this paper

Date Written: April 11, 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

Suggested Citation

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

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 ( email )

Kellogg School of Management
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

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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