The success of trading strategies that lead to abnormal excess returns based on annual/monthly investment periods has recently declined significantly. We adopt the original frameworks of De Bondt and Thaler (J Finance 40(3):793–808, 1985) and Jegadeesh and Titman (J Finance 48(1):65–91, 1993) to an intraday reversal as well as momentum strategy scheme based on 5-min stock returns. We analyze 16 reversal and momentum strategies each with ranking and holding periods of 60, 120, 180 or 300 min (reversal strategies) and 15, 30, 45 or 60 min (momentum strategies) from a retail investor’s perspective. We find no indications for momentum in stock prices but strong indications for reversals. Our results are furtherly robust regarding to market adjustment, portfolio sizes and skipping periods between ranking and holding periods. Our results show that the returns of the reversal strategies are statistically significant, however, yet too small to be economically significant. Our results also confirm the efficiency on the stock markets.

中文翻译：

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日内反转和动量交易策略是否可行？德国蓝筹股分析

导致基于年度/月度投资期的异常超额收益的交易策略的成功最近显着下降。我们采用 De Bondt 和 Thaler (J Finance 40(3):793–808, 1985) 以及 Jegadeesh 和 Titman (J Finance 48(1):65–91, 1993) 的原始框架来进行日内反转和动量基于 5 分钟股票收益的策略方案。我们从散户投资者的角度分析了 16 种反转和动量策略，每种策略的排名和持有期分别为 60、120、180 或 300 分钟（反转策略）和 15、30、45 或 60 分钟（动量策略）。我们没有发现股价上涨的迹象，但有强烈的逆转迹象。我们的结果在市场调整、投资组合规模以及排名和持有期之间的跳跃期方面更加稳健。我们的结果表明，逆转策略的回报在统计上是显着的，然而，太小而没有经济意义。我们的结果也证实了股票市场的效率。