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Research Details

Are you trading predictably?, Financial Analysts Journal

Abstract

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.

Type

Article

Author(s)

Steven Heston, Robert Korajczyk, Ronnie Sadka, Lewis D. Thorson

Date Published

2011

Citations

Heston, Steven, Robert Korajczyk, Ronnie Sadka, and Lewis D. Thorson. 2011. Are you trading predictably?. Financial Analysts Journal. 67(2): 36-44.

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