Table 5: Estimates of (5) at different horizons.

Horizon, Beta-hat (OFR) -squared

5-minute0.6821226 (0.04672573)0.2618
10-minute 1.363381(0.1159284)0.3177
15-minute 2.049136 (0.1991693)0.3495
20-minute 3.133242 (0.2923226)0.4349
25-minute 3.403084 (0.3952186)0.3827
30-minute4.765898 (0.4607529)0.5196

The net order flow ratio (OFR) represents the ratio of net order flow to the corresponding contemporaneous trade quantity over the same period, measured in millions of dollars; numbers in the parenthesis are the standard errors for the corresponding coefficient estimates.