Intraday Patterns in the Cross-section of Stock Returns
Motivated by the literature on investment flows and optimal trading, we examine intraday predictability in the cross-section of stock returns. We find a striking pattern of return continuation at half-hour intervals that are exact multiples of a trading day, and this effect lasts for at least 40 trading days. Volume, order imbalance, volatility, and bid-ask spreads exhibit similar patterns, but do not explain the return patterns. We also show that short-term return reversal is driven by temporary liquidity imbalances lasting less than an hour and bid-ask bounce. Timing trades can reduce execution costs by the equivalent of the effective spread.
Year of publication: |
2010-05
|
---|---|
Authors: | Heston, Steven L. ; Korajczyk, Robert A. ; Sadka, Ronnie |
Institutions: | arXiv.org |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Intraday patterns in the cross-section of stock returns
Heston, Steven L., (2010)
-
Heston, Steven L., (2011)
-
Intraday Patterns in the Cross-Section of Stock Returns
Heston, Steven L., (2019)
- More ...