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- W3121894513 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." @default.
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- W3121894513 date "2010-07-15" @default.
- W3121894513 modified "2023-10-14" @default.
- W3121894513 title "Intraday Patterns in the Cross-section of Stock Returns" @default.
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- W3121894513 doi "https://doi.org/10.1111/j.1540-6261.2010.01573.x" @default.
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