Table 4: Estimates of (4) at different horizons.

Horizon, Beta-hat (OF) -squared

5-minute0.9083667 (0.0389624)0.4757
10-minute0.9149569 (0.0491146)0.5388
15-minute0.9182686 ( 0.0572092)0.5667
20-minute0.9525129 (0.0640856)0.6004
25-minute0.8624387 (0.0727042)0.5421
30-minute0.8703092 (0.0695521)0.6135

The net order flow (OF) represents the net value of buyer-initiated trade minus the seller-initiated trade, measured in millions of dollars; numbers in the parenthesis are the standard errors for the corresponding coefficient estimates.