infrequent rebalancing after the daytime auctions. Finally, I show that post-auction returns predict returns before the US market …The paper provides a fresh look at the role of daytime auctions in intraday periodicity of stock returns. First, I show … that daytime auctions, together with market opening and market closing intervals, drive the periodicity of stock returns …

estimates in auctions. We then look at whether items that fail at auction subsequently return less than items that have not … auction system works, what it indicates about price formation, and how well it performs. We begin with a short description of … the mechanics of the auction system and then organize the remainder of our discussion around two major topics. The first …