Zhao, Yuqian (2021) 'Validating intra-day risk premium in cross-sectional return curves.' Finance Research Letters, 43. p. 102020. ISSN 1544-6123
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Official URL: https://doi.org/10.1016/j.frl.2021.102020
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 |
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Uncontrolled Keywords: | Cross-sectional asset pricing; Intra-day return curves; Fama-MacBeth regression; Factor model; Risk premium |
Divisions: | Faculty of Social Sciences Faculty of Social Sciences > Essex Business School Faculty of Social Sciences > Essex Business School > Essex Finance Centre |
SWORD Depositor: | Elements |
Depositing User: | Elements |
Date Deposited: | 25 May 2021 15:11 |
Last Modified: | 19 Mar 2022 02:00 |
URI: | http://repository.essex.ac.uk/id/eprint/30418 |
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