Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/253604 
Year of Publication: 
2021
Citation: 
[Journal:] Quantitative Economics [ISSN:] 1759-7331 [Volume:] 12 [Issue:] 2 [Publisher:] The Econometric Society [Place:] New Haven, CT [Year:] 2021 [Pages:] 647-682
Publisher: 
The Econometric Society, New Haven, CT
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.
Subjects: 
Asset pricing
cross-sectional dispersion
functional convergence
high-frequency data
intraday variation
market beta
nonparametric inference
systematic risk
JEL: 
C51
C52
G12
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc Logo
Document Type: 
Article

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