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Validating intra-day risk premium in cross-sectional return curves

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

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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

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