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Abstract: Motivated by the literature on investment flows and optimal trading, weexamine intraday predictability in the cross-section of stock returns. We finda striking pattern of return continuation at half-hour intervals that are exactmultiples of a trading day, and this effect lasts for at least 40 trading days.Volume, order imbalance, volatility, and bid-ask spreads exhibit similarpatterns, but do not explain the return patterns. We also show that short-termreturn reversal is driven by temporary liquidity imbalances lasting less thanan hour and bid-ask bounce. Timing trades can reduce execution costs by theequivalent of the effective spread.



Autor: Steven L. Heston, Robert A. Korajczyk, Ronnie Sadka

Fuente: https://arxiv.org/







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