Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk

DOI10.3982/QE1570zbMath1475.91386MaRDI QIDQ5164498

Viktor Todorov, Martin Thyrsgaard, Torben G. Andersen

Publication date: 11 November 2021

Published in: Quantitative Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/qe1570

zbMATH Keywords

asset pricing; high-frequency data; nonparametric inference; systematic risk; functional convergence; market beta; cross-sectional dispersion; intraday variation

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G30: Interest rates, asset pricing, etc. (stochastic models)

91G45: Financial networks (including contagion, systemic risk, regulation)

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Intraday cross-sectional distributions of systematic risk