Researchers Amar Soebhag and Guido Baltussen of Erasmus School of Economics have won the second prize in the 2025 Quantpedia Awards competition. They uncovered a surprising intraday trading pattern, where individual stocks often reverse their performance in the last 30 minutes of the trading day.
The end-of-day reversal pattern
Stocks which performed poorly throughout the day tend to rebound strongly just before market close, while high-performing stocks often drop. This effect was studied by Assistant Professor Amar Soebhag and Professor Guido Baltussen of Erasmus School of Economics and, together with co-author, Professor Zhi Da (University of Notre Dame). ‘The effect is especially strong for stocks that performed badly,’ says Soebhag. The finding is particularly noteworthy because it contradicts earlier research by co-author Guido Baltussen, who had found a positive end-of-day trend at the index level. ‘At first, we even wondered if there was a minus sign missing somewhere,’ Soebhag recalls. ‘But the results were robust.’
What causes this pattern? The researchers suggest that retail investors, everyday individuals trading on the stock market, are driving the effect. ‘These retail investors tend to act contrarian. If a stock has dropped a lot, they often see that as a buying opportunity, especially at the end of the day when they know they’ll otherwise have to wait until tomorrow,’ Soebhag explains. And while buying is easy, selling is only possible if the stock is already in one’s portfolio, limiting contrarian selling behaviour. These behavioural tendencies may explain why price reversals are most visible in underperforming stocks, and why the effect peaks in the final 30 minutes of trading.
The team of researchers analysed all US-listed stocks using intraday data with minute-level precision. ‘We also checked whether this effect exists earlier in the day, but it doesn’t, it’s unique to the final half hour,’ says Amar Soebhag.
Winning second place in the 2025 Quantpedia Awards competition
This study was picked up by Quantpedia, a platform that tracks investment strategies grounded in academic literature. ‘The founder invited us to submit, and we were thrilled to win second place out of more than a hundred entries,’ Soebhag says. The prize includes a monetary award of $1,000.
Attention to anomalies
The findings raise important questions for financial economists. In an efficient market, such predictable patterns should not persist, especially within such a narrow time frame. The study suggests that intraday dynamics and behavioural factors may play a larger role in price formation than commonly assumed, and calls for closer academic attention to short-horizon anomalies.
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Read the paper “End-of-Day Reversal” by Guido Baltussen, Zhi Da, and Amar Soebhag here.
For more information, please contact Ronald de Groot, Media and Public Relations Officer at Erasmus School of Economics, rdegroot@ese.eur.nl, or +31 6 53 641 846.
