Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 13, 2016 erstellt
Description:
This paper introduces a new tool — the wavelet-variance estimator — that measures the fraction of trading activity at each investment horizon. We find substantial cross-sectional variation in horizons, even for stocks with the same volume, size, and liquidity. Moreover, the fraction of trading at the one-minute horizon is priced in monthly returns. The quintile of stocks with the highest fraction of trading at the one-minute horizon has abnormal returns that are 0.49% per month higher than the lowest quintile's. Abnormal returns persist after controlling for liquidity, asymmetric information, and risk factors. Trading activity at one horizon can spillover and affect returns at another