Intraday losers rebound in the last half-hour: a daily long-short quintile strategy (value-weighted, stocks over $5) earned 0.035% average gross daily return (8.8% annualized; 0.044% equal-weighted), before transaction costs (Jan 1993–Dec 2019; U.S. common stocks).
Should investors expect end-of-day rebounds in intraday loser stocks? In their November 2024 paper entitled "End-of-Day Reversal", Amar Soebhag, Guido Baltussen and Zhi Da investigate intraday return reversal among individual stocks during the last 30 minutes of the trading day. They segment the 24-hour close-to-close trading day into: (1) overnight (close to open); (2) first half-hour; (3) end of first half-hour to an hour before close; (4) next-to-last half-hour; and, (5) last half-hour. They focus on the relationship between return for the first three segments and the fifth segment (ignoring the fourth segment to rule out price bounce). They also rule out: stocks with market capitalizations below the NYSE 10th percentile; stocks priced below $5.00 (sometimes $1.00); and, stocks with fewer than 126 days of observations. Using intraday price data for the remaining U.S. common stocks during January 1993 (based on availability of intraday prices) through December 2019, they find that:
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