Zhao, Yuqian (2021) 'Validating intra-day risk premium in cross-sectional return curves.' Finance Research Letters. ISSN 1544-6123

Text funrisk.pdf - Accepted Version Restricted to Repository staff only until 19 March 2022. Available under License Creative Commons Attribution Non-commercial No Derivatives. Download (4MB) | Request a copy

Abstract

This paper investigates the cross-sectional asset pricing for intra-day return curves. By introducing a functional Fama-MacBeth regression approach, the validation of the intra-day risk premium associated with the Fama-French Carhart factors is examined. The empirical evidence reveals that these common risk factors show weak explainability to the entire cross-sectional intra-day returns, despite significant risk premiums that are discovered in specific half-hour time-spans in bullish sentiment.

Item Type:	Article
Uncontrolled Keywords:	Cross-sectional asset pricing, Intra-day return curves, Fama-MacBeth regression, Factor model, Risk premium
Divisions:	Faculty of Social Sciences > Essex Business School Faculty of Social Sciences > Essex Business School > Essex Finance Centre
Depositing User:	Elements
Date Deposited:	25 May 2021 15:11
Last Modified:	25 May 2021 16:15
URI:	http://repository.essex.ac.uk/id/eprint/30418

Actions (login required)

View Item