Are you trading predictably?
Heston, Steven,, Ronnie Sadka and Lewis D. Thorson
Over the post-decimalization period, we find a predictable pattern of return continuation in equities. Stocks whose relative returns are high in a given half-hour interval today tend to exhibit similar outperformance in the same half-hour period on subsequent days. The effect is stronger at the beginning and end of the trading day, but exists throughout the day. Percentage changes in trading volume exhibit a similar pattern, but do not explain the return pattern. These results suggest that strategically shifting the timing of trades can significantly reduce execution costs for institutional traders.
Heston, Steven,, Ronnie Sadka and Lewis D. Thorson. 2011. Are you trading predictably?. Financial Analysts Journal. 67(2): 36-44.