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Stats › Intraday en marktmicrostructuur › End-of-day reversal

Only the losers revert into the close

Last half hour 15:30 to 16:00: 3.78+3.78Laatste halfuur15:30 to 16:00Plus the next overnight: -0.12-0.12Plus the nextovernightPlus the next full day: 0.58+0.58Plus the nexthele dag

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
GeenOf the effect that survives past the closing bell

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Below this point there are 5 sections, 1 table and 2 named sources, roughly 450 words of it. Every figure carries the source it came from and the date the data is from.

Je kunt elke statistiek in de bibliotheek gratis blijven bekijken. De intro en de samenvatting zijn altijd open.