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The paper was co-authored by University of Maryland professor Steven L. Heston and Boston College professor Ronnie Sadka (Kellogg PhD '03). "The results suggest that some investors' trading patterns induce some predictability in stock prices," said Korajczyk, the Harry G. Guthmann Professor of Finance and director of the Zell Center for Risk Research. "The nature of the predictability is of most use to institutional investors, particularly those who engage in high-frequency, algorithmic trading. They can use the results to time their trading programs to avoid some trading costs associated with predictability in prices."
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