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

IF 2.2 3区 经济学 Q2 ECONOMICS
T. Andersen, Martin Thyrsgaard, V. Todorov
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引用次数: 12

Abstract

We study the temporal behavior of the cross-sectional distribution of assets’ market exposure, or betas, using a large panel of high-frequency returns. The asymptotic setup has the sampling frequency of returns increasing to infinity, while the time span of the data remains fixed, and the cross-sectional dimension of the panel is either fixed or increasing. We derive functional limit results for the cross-sectional distribution of betas evolving over time. We demonstrate, for constituents of the S&P 500 market index, that the dispersion in betas is elevated at the market open and gradually declines over the trading day. This intraday pattern varies significantly over time and reacts to information shocks such as clustered earning announcements and releases of macroeconomic news. We find that earnings news increase beta dispersion while FOMC announcements have the opposite effect on market betas.
顽固性贝塔系数:系统性风险横截面分散的日内变化
我们研究了资产市场敞口的横截面分布的时间行为,或贝塔,使用一个大的高频回报面板。在渐近设置中,回归的采样频率增加到无穷大,而数据的时间跨度保持固定,面板的横截面尺寸或固定或增加。我们推导了随时间演变的β的横截面分布的函数极限结果。我们证明,对于标准普尔500市场指数的组成部分,贝塔系数的离散度在市场开盘时升高,并在交易日中逐渐下降。这种盘中模式随着时间的推移而变化很大,并对信息冲击做出反应,如聚集的盈利公告和宏观经济新闻的发布。我们发现盈利新闻增加了贝塔系数的分散度,而FOMC公告对市场贝塔系数有相反的影响。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
4.10
自引率
5.60%
发文量
28
审稿时长
52 weeks
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