The End-of-Day Reversal After 2019: A Pre-Registered Test on S&P 500 Stocks Excluding Heavily Traded Names

Earlier work documented that intraday losers outperform intraday winners in the last half hour of US trading, using data up to December 2019. The authors test it on later data under a private pre-registration, on S&P 500 members excluding about 80 heavily traded stocks they had studied before, and required the 2016–2019 data to reproduce the published sign before any later result was computed.

The dollar-volume-weighted reversal is 3.13 basis points a day (\(t = 7.5\)) in 2016–2019 and 3.05 (\(t = 3.0\)) in 2023–2026, but indistinguishable from zero in 2020–2022. On the full index it falls from 3.40 to 0.74 basis points, with the weakness concentrated in the largest stocks, and none of the pre-registered tests of mechanism passes.