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 language | English (US) |
|---|---|
| Pages (from-to) | 36-44 |
| Number of pages | 9 |
| Journal | Financial Analysts Journal |
| Volume | 67 |
| Issue number | 2 |
| DOIs | |
| State | Published - Mar 1 2011 |
ASJC Scopus subject areas
- Accounting
- Finance
- Economics and Econometrics