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- Title
How to profit from intradaily stock returns.
- Authors
Harris, Lawrence
- Abstract
The article focuses on the statistical significance and pervasiveness of differences in average weekday returns on securities. Opportunities are there to profit from weekly patterns in prices provided transactions must be made for other reasons. Stock purchasers should not purchase on Monday and sellers should wait until the end of trading on Friday. By the application of this timing strategy, the potential gain can be significant. Systematic weekly price patterns must be known completely and fully to the traders who wish to time their trades to take advantage of these patterns. Systematic and exploitable patterns in intraday prices must be sought by the traders as the securities cannot always be traded at closing prices. Data obtained from Francis Emory Fitch Inc. consists of a time-ordered record of every transaction in every common stock traded on the New York Stock Exchange for the fourteen months between December 1, 1981 to January 31, 1983. The presence of intraday price patterns indicates that the portfolio's total return must be improved by a manager with careful timings of trades.
- Subjects
SECURITIES; PRICES of securities; STOCKHOLDERS; RATE of return; INVESTMENTS; SECURITIES trading volume; NEW York Stock Exchange; FRANCIS Emory Fitch Inc.; SECURITIES trading
- Publication
Journal of Portfolio Management, 1986, Vol 12, Issue 2, p61
- ISSN
0095-4918
- Publication type
Article
- DOI
10.3905/jpm.1986.409046