Intraday Patterns in the Cross‐section of Stock Returns

摘要: At short horizons equity returns exhibit negative autocorrelation, possibly due to bid/ask bounce, while at longer momentum. We study the term structure of microstructure eects using half-hour observation intervals in post-decimalization period. The induced reversal is pronounced within 24 hours. Notably, we …nd signi…cant continuation that are multiples a day and this eect lasts for over twenty trading days. Percentage changes volume, order imbalance, volatility similar patterns, but do not explain return patterns. Additionally, spreads pattern. daily frequencies more for, restricted to, …rst last periods day. These driven by …rm size, systematic risk premia, or inclusion S&P500 index. pattern also particular months year, days week, turn-of-the-month eects. This suggests traders may wish time portfolio rebalancing account these persistent intraday