Weekly and intradaily patterns in common stock prices are examined using transaction data. For large firms, negative Monday close-to-close returns accrue between the Friday close and the Monday open; for smaller firms they accrue primarily during the Monday trading day. For all firms, significant weekday differences in intraday returns accrue during the first 45 minutes after the market opens. On Monday mornings, prices drop, while on the other weekday mornings, they rise. Otherwise the pattern of intraday returns is similar on all weekdays. Most notable is an increase in prices on the last trade of the day.

New cross-sectional tests of the Mixture of Distributions Hypothesis are presented. The tests assume that the distribution of the mixing variable (often interpreted as the daily rate of flow of information) is not identical for all securities. Cross-security differences in the mixing distribution cause cross-security differences in the joint distribution of returns and volume. The Hypothesis provides predictions about how these differences appear in the joint distribution. The predictions are confirmed in tests based on cross-security correlations among summary statistics that characterize shape and covariational attributes of the joint distribution of returns and volume. The results are consistent with the Mixture of Distributions Hypothesis.

ABSTRACT Attempts to identify price pressures caused by large transactions may be inconclusive if the transactions convey new information to the market. This problem is addressed in an examination of prices and volume surrounding changes in the composition of the S&P 500. Since these changes cause some investors to adjust their holdings of the affected securities and since it is unlikely that the changes convey information about the future prospects of these securities, they provide an excellent opportunity to study price pressures. The results are consistent with the price‐pressure hypothesis: immediately after an addition is announced, prices increase by more than 3 percent. This increase is nearly fully reversed after 2 weeks.

Lawrence Harris, Eitan Gurel, Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures, The Journal of Finance, Vol. 41, No. 4 (Sep., 1986), pp. 815-829