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...

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...