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Stats › Intraday et microstructure de marché › End-of-day reversal

Only the losers revert into the close

Last half hour 15:30 to 16:00: 3.78+3.78Dernière demi-heure15:30 to 16:00Plus the next overnight: -0.12-0.12Plus the nextovernightPlus the next full day: 0.58+0.58Plus the nextjournée complète

Daily value-weighted long-short spread in basis points, January 1993 to December 2019. t statistics 10.69, minus 0.47 and 1.42. The effect is a genuine intraday reversal, not a risk premium: extend the holding period by a single session and it is gone.

Stocks that fall through the trading day bounce in the last thirty minutes, worth about 9.5% a year on a value-weighted long-short book. Stocks that rise do not give it back. The effect is one-sided, and none of it survives past the close.

3.78 bpDaily value-weighted long-short spread, t = 10.69, about 9.5% a year
6.38 bpEqual-weighted, t = 17.30, about 17.3% a year
t = 0.23Coefficient on mornings that rose: nothing reverts
AucunOf the effect that survives past the closing bell

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