科研之友
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摘要
The authors find predictable patterns in stock returns. Stocks whose relative returns are high in a given half hour today exhibit similar out performance in the same half hour on subsequent days. The effect is stronger at both the beginning and the end of the trading day. These results suggest that strategically shifting the timing of trades can significantly reduce execution costs for institutional traders.
- 出版日期2011-4
- 单位西北大学
