Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 24, 2023 erstellt
Beschreibung:
We argue that high-frequency return predictability can be explained by delays in prices, providing another explanation for why paper profits often do not materialize. We investigate predictability in the US (and international) stock market from 2005 to 2012 and in 2020. We find that 1-minute returns are predictable, as in Chinco, Clark-Joseph, and Ye (2019), only if returns are calculated from prices in the sequence in which prices are reported in TAQ, i.e., when returns capture both time-series as well as cross-sectional variation across exchanges. We rule out various explanations and are left with the assumption that predictability is due to unobservable variations in delays across exchanges (not only caused by the SIP.) We propose to use predictability as a proxy for random delays across signals