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

Zhao, Y. (2021) Validating intra-day risk premium in cross-sectional return curves. Finance Research Letters, 43 . Article Number 102020. ISSN 1544-6123. (doi:10.1016/j.frl.2021.102020) (KAR id:93918)

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Official URL:
http://dx.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
DOI/Identification number: 10.1016/j.frl.2021.102020
Uncontrolled keywords: Cross-sectional asset pricing; Intra-day return curves; Fama-MacBeth regression; Factor model; Risk premium
Subjects: H Social Sciences > H Social Sciences (General)
Divisions: Divisions > Kent Business School - Division > Department of Accounting and Finance
Depositing User: Yuqian Zhao
Date Deposited: 17 May 2022 09:26 UTC
Last Modified: 18 May 2022 09:17 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/93918 (The current URI for this page, for reference purposes)
Zhao, Y.: https://orcid.org/0000-0002-5396-3316
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