Blau, Benjamin M.; Ness, Bonnie F. Van; Ness, Robert A. Van - In: Journal of Financial Research 32 (2009) 1, pp. 1-21
Research documents a U-shaped intraday pattern of returns. We examine which trade sizes drive the U-shaped pattern and find that intraday price changes from larger trades exhibit a U-shaped pattern whereas price changes from smaller trades show a reverse U-shaped pattern. We argue that price...
