Intraday Patterns in the Cross-Section of Stock Returns PDF Download
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Author: Steven L. Heston
Publisher:
ISBN:
Category :
Languages : en
Pages : 59
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Book Description
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.
Author: Steven L. Heston
Publisher:
ISBN:
Category :
Languages : en
Pages : 59
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Book Description
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.
Author: Stijn Claessens
Publisher:
ISBN:
Category :
Languages : en
Pages : 28
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Book Description
Several factors besides m ...
Author: Steven L. Heston
Publisher:
ISBN:
Category :
Languages : en
Pages : 35
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Book Description
This paper studies the performance of international stock strategies based on historical returns. Stocks that outperform the local market in a particular month continue to outperform the local market in future years in that same calendar month. This effect lasts for 10 years and the same pattern appears in Canada, Japan, and twelve European countries. This return pattern is independent of country, currency effects, and market capitalization. These strategies are not highly correlated across countries; this indicates they do not reflect pervasive international risk. Instead this common seasonal structure in international stocks suggests countries share similar segmented return mechanisms.
Author: Robert A. Ariel
Publisher: Palala Press
ISBN: 9781379114314
Category : History
Languages : en
Pages : 52
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Book Description
This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. As a reproduction of a historical artifact, this work may contain missing or blurred pages, poor pictures, errant marks, etc. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
Author: Richard C. Grinold
Publisher: McGraw Hill Professional
ISBN: 007137695X
Category : Business & Economics
Languages : en
Pages : 596
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Book Description
"This new edition of Active Portfolio Management continues the standard of excellence established in the first edition, with new and clear insights to help investment professionals." -William E. Jacques, Partner and Chief Investment Officer, Martingale Asset Management. "Active Portfolio Management offers investors an opportunity to better understand the balance between manager skill and portfolio risk. Both fundamental and quantitative investment managers will benefit from studying this updated edition by Grinold and Kahn." -Scott Stewart, Portfolio Manager, Fidelity Select Equity ® Discipline Co-Manager, Fidelity Freedom ® Funds. "This Second edition will not remain on the shelf, but will be continually referenced by both novice and expert. There is a substantial expansion in both depth and breadth on the original. It clearly and concisely explains all aspects of the foundations and the latest thinking in active portfolio management." -Eric N. Remole, Managing Director, Head of Global Structured Equity, Credit Suisse Asset Management. Mathematically rigorous and meticulously organized, Active Portfolio Management broke new ground when it first became available to investment managers in 1994. By outlining an innovative process to uncover raw signals of asset returns, develop them into refined forecasts, then use those forecasts to construct portfolios of exceptional return and minimal risk, i.e., portfolios that consistently beat the market, this hallmark book helped thousands of investment managers. Active Portfolio Management, Second Edition, now sets the bar even higher. Like its predecessor, this volume details how to apply economics, econometrics, and operations research to solving practical investment problems, and uncovering superior profit opportunities. It outlines an active management framework that begins with a benchmark portfolio, then defines exceptional returns as they relate to that benchmark. Beyond the comprehensive treatment of the active management process covered previously, this new edition expands to cover asset allocation, long/short investing, information horizons, and other topics relevant today. It revisits a number of discussions from the first edition, shedding new light on some of today's most pressing issues, including risk, dispersion, market impact, and performance analysis, while providing empirical evidence where appropriate. The result is an updated, comprehensive set of strategic concepts and rules of thumb for guiding the process of-and increasing the profits from-active investment management.
Author: Michael J. Aitken
Publisher:
ISBN:
Category : Securities
Languages : en
Pages : 83
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Book Description
Author: Oleg Komarov
Publisher:
ISBN:
Category :
Languages : en
Pages : 53
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Book Description
There is limited evidence of intraday predictability both in the cross-section of US stock returns (see Heston et al., 2010) and in the time-series of the aggregate stock market (see Gao et al., 2015). I find that statistical time-series predictability does not imply economic profitability, whereas cross-sectional sorts on past performance see stocks, which lost or won the most in the morning, earn in the last half-hour of trading about 15.6 and 19.4 % in annualized terms, and well above the rest of the cross-section. The effect is fundamentally different from Heston et al. (2010) and is robust to stock characteristics, the day-of-week effect, variations in the formation and holding periods (afternoon), but exhibits some dependence on the sample period, suggesting that specific market mechanisms or frictions play a relevant role on intraday price formation.
Author: 蘇昱翔
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
The realized moments innovations are calculated by the intraday data to the weekly frequency. From realized moments innovations we investigate if these variables are informative for the future stock returns. We find that realized skewness innovations are negative with next week's stock returns. Our work shows that makes portfolios with buying the stocks in highest previous realized moments innovations and selling the stocks in lowest previous realized moments innovations can make good profit. Our realized moments innovations are robust some firm characteristics can predict still signicance over two weeks. We do not find evidence that realized volatility innovations, realized kurtosis innovations and next week's stock return have the relationship..
Author: Gregory Connor
Publisher: Princeton University Press
ISBN: 1400835291
Category : Business & Economics
Languages : en
Pages : 400
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Book Description
Portfolio risk forecasting has been and continues to be an active research field for both academics and practitioners. Almost all institutional investment management firms use quantitative models for their portfolio forecasting, and researchers have explored models' econometric foundations, relative performance, and implications for capital market behavior and asset pricing equilibrium. Portfolio Risk Analysis provides an insightful and thorough overview of financial risk modeling, with an emphasis on practical applications, empirical reality, and historical perspective. Beginning with mean-variance analysis and the capital asset pricing model, the authors give a comprehensive and detailed account of factor models, which are the key to successful risk analysis in every economic climate. Topics range from the relative merits of fundamental, statistical, and macroeconomic models, to GARCH and other time series models, to the properties of the VIX volatility index. The book covers both mainstream and alternative asset classes, and includes in-depth treatments of model integration and evaluation. Credit and liquidity risk and the uncertainty of extreme events are examined in an intuitive and rigorous way. An extensive literature review accompanies each topic. The authors complement basic modeling techniques with references to applications, empirical studies, and advanced mathematical texts. This book is essential for financial practitioners, researchers, scholars, and students who want to understand the nature of financial markets or work toward improving them.
Author: Hesu Yang
Publisher:
ISBN:
Category :
Languages : en
Pages : 202
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Book Description
We provide a detailed investigation of interaction effects, calendar and time-of-day effects, and industry-aggregation returns of various cross-sectional biases in the literature using a WLS Fama-Macbeth regression methodology on daily returns in the US equity markets from 1982 to 2011 and on intraday returns from 1993 to 2007. Among our findings regarding return effects are that 1) the reversal-momentum-reversal pattern in the short-, medium-, and long-term is highly variable by month, that 2) the industry momentum effect, as initially reported in Moskowitz and Grinblatt (1999) has largely disappeared according to the given methodology, and that 3) while intraday cross-sectional return variation displays periodicity effects as described by Heston, Korajczyk and Sadka (2010), the return structure varies significantly by time of day, unlike their report. Additionally, we also find that the “linearity” of a stock's past returns, as well as the skewness of the returns, have power in predicting the cross-section of stock returns; the results for skewness provide some empirical support for the results of Barberis and Huang (2008). For the size, value, risk, and turnover factors that we test, returns are generally much stronger in January than in other months, although industry aggregates general show little predictive power (with a few exceptions), echoing the results of Asness, Porter, and Stevens (2000). Finally, we implement a testing scheme that evaluates returns to portfolios that capture some of the pricing biases, taking into account various real-world constraints and trading costs. We find that 1) there are significant risk-adjusted returns to semi-active “structured” portfolios that arbitrage the noted biases (net of trading costs, given the constraints), especially after 2002, but that 2), using a short-scale time frame for calculating IR encourages benchmark hugging and suggests a semi-passive portfolio over active portfolios.
