The pattern of intraday portfolio management decisions: A case study of intraday security return patterns

被引：6
|
作者：
Block, SB
French, DW
Maberly, ED
机构：
[1] New Mexico State Univ, Dept Finance, MSC, Las Cruces, NM 88003 USA
[2] Texas Christian Univ, Ft Worth, TX 76129 USA
[3] Univ Canterbury, Canterbury, New Zealand
来源：
JOURNAL OF BUSINESS RESEARCH | 2000年 / 50卷 / 03期
关键词：
D O I：
10.1016/S0148-2963(99)00023-5
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This article examines causes of observed stock trading patterns that show high hourly returns and trading volume during early and late trading hours. Using time-stamped data from an institutional investor we document high levels of portfolio managers' early-morning and late-afternoon decisions to trade that can result in the volume pattern and relatively higher proportions of buy decisions that could contribute to the return pattern. (C) 2000 Elsevier Science Inc. All rights reserved.
引用
收藏
页码：321 / 326
页数：6
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