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Author(s)

Steven Heston

Robert Korajczyk

Ronnie Sadka

Lewis 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.
Date Published: 2011
Citations: Heston, Steven, Robert Korajczyk, Ronnie Sadka, Lewis Thorson. 2011. Are you trading predictably?. Financial Analysts Journal. (2)36-44.