摘要翻译：
受有关投资流和最优交易的文献的激励，我们在股票收益的横截面上检验了日内可预测性。我们发现，在半小时的时间间隔内，回报会持续一个显著的模式，这种模式正好是一个交易日的倍数，而且这种效应至少会持续40个交易日。成交量、订单不平衡、波动性和买卖价差表现出类似的模式，但不能解释回报模式。我们还表明，短期收益逆转是由持续时间不到一小时的暂时流动性失衡和买卖反弹驱动的。定时交易可以减少相当于有效价差的执行成本。
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英文标题：
《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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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，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链接：
https://arxiv.org/pdf/1005.3535