TY - JOUR
T1 - Intraday patterns in the cross-section of stock returns
AU - Heston, Steven L.
AU - Korajczyk, Robert A.
AU - Sadka, Ronnie
PY - 2010/8/1
Y1 - 2010/8/1
N2 - Motivated by the literature on investment flows and optimal trading, we examine intraday predictability in the cross-section of stock returns. We find a striking pattern of return continuation at half-hour intervals that are exact multiples of a trading day, and this effect lasts for at least 40 trading days. Volume, order imbalance, volatility, and bid-ask spreads exhibit similar patterns, but do not explain the return patterns. We also show that short-term return reversal is driven by temporary liquidity imbalances lasting less than an hour and bid-ask bounce. Timing trades can reduce execution costs by the equivalent of the effective spread.
AB - Motivated by the literature on investment flows and optimal trading, we examine intraday predictability in the cross-section of stock returns. We find a striking pattern of return continuation at half-hour intervals that are exact multiples of a trading day, and this effect lasts for at least 40 trading days. Volume, order imbalance, volatility, and bid-ask spreads exhibit similar patterns, but do not explain the return patterns. We also show that short-term return reversal is driven by temporary liquidity imbalances lasting less than an hour and bid-ask bounce. Timing trades can reduce execution costs by the equivalent of the effective spread.
UR - http://www.scopus.com/inward/record.url?scp=77955160880&partnerID=8YFLogxK
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U2 - 10.1111/j.1540-6261.2010.01573.x
DO - 10.1111/j.1540-6261.2010.01573.x
M3 - Article
AN - SCOPUS:77955160880
VL - 65
SP - 1369
EP - 1407
JO - Journal of Finance
JF - Journal of Finance
SN - 0022-1082
IS - 4
ER -