Paper: arXiv 2611.09286

Authors: Alex Vidovich, Zivana Zerjal

Abstract

Baltussen, Da and Soebhag (2025) document an end-of-day reversal in U.S. stocks through December 2019: intraday losers outperform intraday winners over the last half hour of trading. We test it on later data, on point-in-time S&P 500 members excluding about 80 heavily traded stocks we had examined in earlier, unpublished work. Under a private pre-registration, the 2016-2019 data had to reproduce the published sign before any statistic linking the sort to the outcome was computed on later primary-sample data. Measured to the last trade before the closing auction, the dollar-volume-weighted reversal is 3.13 bps per day (t = 7.5) in 2016-2019 and 3.05 bps (t = 3.0) in 2023-2026, with a one-sided 95% bound on the decline of 61%. The result depends on the window: the reversal is indistinguishable from zero in 2020-2022, 2023 carries much of the later estimate, and from 2020 onward it is 1.69 bps (t = 2.3), with a bound of 91%. A proxy sample, added after the run, gives 2.81 and 3.86 bps. On the full index the reversal falls from 3.40 to 0.74 bps (t of the change -1.83, short of the registered bar of -3); descriptive comparisons concentrate this weakness in the very largest stocks. No pre-registered mechanism test passes.

Complexity vs Empirical Score

  • Math Complexity: 5.0/10
  • Empirical Rigor: 6.0/10 (capped from 8.0: transaction costs not modelled; see penalty flags)
  • Quadrant: Holy Grail — high math complexity, high empirical rigor

Why this score: The paper presents a rigorous empirical test of a known anomaly, using a pre-registered methodology and extensive data analysis. While the mathematical complexity is moderate, the empirical rigor and novelty in the testing approach are strong. The overall score reflects a solid contribution to quantitative finance.

Research Flowchart

  flowchart TD
    A[Research Goal: Test End-of-Day Reversal Post-2019] --> B{Methodology: Pre-Registered Test};
    B --> C{Data: S&P 500 Stocks (excl. heavily traded), 2016-2026};
    C --> D{Pre-registration Step: Reproduce 2016-2019 Published Sign};
    D --> E{Computation: Dollar-Volume-Weighted Reversal (Last 30min)};
    E --> F[Key Finding 1: Reversal is 3.13bps (2016-19) & 3.05bps (2023-26)];
    E --> G[Key Finding 2: Reversal ~0 in 2020-2022; Weaker on Full Index (0.74bps post-2020)];
    E --> H[Key Finding 3: No pre-registered mechanism test passed];