Are you trading predictably?

Steven L. Heston, Robert Korajczyk, Ronnie Sadka, Lewis D. Thorson

Research output: Contribution to journalArticlepeer-review

2 Scopus citations

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.

Original languageEnglish (US)
Pages (from-to)36-44
Number of pages9
JournalFinancial Analysts Journal
Volume67
Issue number2
DOIs
StatePublished - Mar 1 2011

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics

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