Intraday Patterns in the Cross‐section of Stock Returns
研究了股票回报率在半小时间隔上的持续模式，该模式持续至少40个交易日，且不能被交易量、订单不平衡等解释，为交易时机选择提供了降低执行成本的依据。
ABSTRACT 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.