Divide and Conquer: A Theory of Intraday and Day-of-the-Week Mean Effects.

This article develops a model in which patterns in buy and sell volume, order imbalances, and expected price changes arise endogenously. The model covers cases in which the market maker is competitive and is a monopolist. Our results provide an explanation for the existence of patterns in mean returns within the trading day and across trading days. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.