Changes in the span of systematic risk exposures

• 成果类型: Article
• 署名作者: Liao, Yuan; Todorov, Viktor
• 署名单位: Rutgers University System; Rutgers University New Brunswick; Rutgers University Newark; Northwestern University
• 刊物名称: QUANTITATIVE ECONOMICS
• ISSN/ISSBN: 1759-7323
• DOI: 10.3982/QE2330
• 发表日期: 2024
• 页码: 817-847
• 关键词: Asset pricing; high-frequency data; latent factor model; nonparametric test; PCA; systematic risk; C51; C52; G12

摘要

We develop a test for deciding whether the linear spaces spanned by the factor exposures of a large cross-section of assets toward latent systematic risk factors at two distinct points in time are the same. The test uses a panel of asset returns in local windows around the two time points. The asymptotic setup is of joint type: the number of assets and the number of return observations per asset increase asymptotically while the length of both time windows shrinks. We estimate the factor exposures, up to rotation, over the two periods using classical principal component analysis and evaluate their projection discrepancy, which is rotation invariant. This projection discrepancy is then centered with one between factor exposures computed over a partition of the pooled return data into odd and even increments. We derive the limit distribution of the statistic under the null hypothesis and develop an easy-to-implement bootstrap for constructing the critical region of the test. The test is applied to intraday financial data to determine whether the linear span of assets' systematic risk exposures differ during a trading day or after a release of important economic information.