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

Yuqian Zhao

Finance Research Letters, 2021, vol. 43, issue C

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.

Keywords: Cross-sectional asset pricing; Intra-day return curves; Fama-MacBeth regression; Factor model; Risk premium (search for similar items in EconPapers)
JEL-codes: C12 C52 C58 G12 G14 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:43:y:2021:i:c:s154461232100101x

DOI: 10.1016/j.frl.2021.102020

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