摘要翻譯:
受有關(guān)投資流和最優(yōu)交易的文獻(xiàn)的激勵(lì),我們?cè)诠善笔找娴臋M截面上檢驗(yàn)了日內(nèi)可預(yù)測性。我們發(fā)現(xiàn),在半小時(shí)的時(shí)間間隔內(nèi),回報(bào)會(huì)持續(xù)一個(gè)顯著的模式,這種模式正好是一個(gè)交易日的倍數(shù),而且這種效應(yīng)至少會(huì)持續(xù)40個(gè)交易日。成交量、訂單不平衡、波動(dòng)性和買賣價(jià)差表現(xiàn)出類似的模式,但不能解釋回報(bào)模式。我們還表明,短期收益逆轉(zhuǎn)是由持續(xù)時(shí)間不到一小時(shí)的暫時(shí)流動(dòng)性失衡和買賣反彈驅(qū)動(dòng)的。定時(shí)交易可以減少相當(dāng)于有效價(jià)差的執(zhí)行成本。
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英文標(biāo)題:
《Intraday Patterns in the Cross-section of Stock Returns》
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作者:
Steven L. Heston, Robert A. Korajczyk, and Ronnie Sadka
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最新提交年份:
2010
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分類信息:
一級(jí)分類:Quantitative Finance 數(shù)量金融學(xué)
二級(jí)分類:Trading and Market Microstructure 交易與市場微觀結(jié)構(gòu)
分類描述:Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市場微觀結(jié)構(gòu),流動(dòng)性,交易和拍賣設(shè)計(jì),自動(dòng)化交易,基于代理的建模和做市
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英文摘要:
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.
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PDF鏈接:
https://arxiv.org/pdf/1005.3535