Intraday Patterns in the Cross-section of Stock Returns

• 成果类型: Article
• 署名作者: Heston, Steven L.; Korajczyk, Robert A.; Sadka, Ronnie
• 署名单位: University System of Maryland; University of Maryland College Park; Northwestern University; Boston College
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2010.01573.x
• 发表日期: 2010
• 页码: 1369-1407
• 关键词: BID-ASK SPREAD; MARKET-EFFICIENCY; SECURITY RETURNS; trading volume; liquidity; seasonality; RISK; anomalies; momentum; BEHAVIOR

摘要

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.