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...

How do arbitrageurs find variables that predict returns? If a predictor lasts 30 days or more, then a clever arbitrageur can use his intuition to get the job done. But, what's an arbitrageur supposed to do if a predictor lasts 30 minutes or less? An arbitrageur's intuition is useless if the...

This paper uses wavelets to decompose each stock's trading-volume variance into frequency-specific components. We find that stocks dominated by short-run fluctuations in trading volume have abnormal returns that are 1% per month higher than otherwise similar stocks where short-run fluctuations...

This paper applies the Least Absolute Shrinkage and Selection Operator (LASSO) to make rolling 1-minute-ahead return forecasts using the entire cross section of lagged returns as candidate predictors. The LASSO increases both out-of-sample fit and forecast-implied Sharpe ratios. And, this...

This paper develops a model showing why traders might use coincidences to identify promising investment opportunities that are worth investigating further. The model predicts that, if both National Semiconductor and Sequans Communications realize top-10 returns (i.e., the semiconductor industry...

Companies have overlapping exposures to many different features that might plausibly affect their returns, like whether they're involved in a crowded trade, whether they're mentioned in an M&A rumor, or whether their supplier recently missed an earnings forecast. Yet, at any point in time, only...

When otherwise intelligent investors fail to correct an error, a researcher learns something about what these investors did not know. The investors must not have known about anything which would have allowed them to spot their mistake. If they had, they would have stopped making it.I show how a...