Understanding Systematic Risk: A High-Frequency Approach

• 成果类型: Article
• 署名作者: Pelger, Markus
• 署名单位: Stanford University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12898
• 发表日期: 2020
• 页码: 2179-2220
• 关键词: cross-section; jump; equilibrium; volatility; arbitrage; number; return; premia; prices

摘要

Based on a novel high-frequency data set for a large number of firms, I estimate the time-varying latent continuous and jump factors that explain individual stock returns. The factors are estimated using principal component analysis applied to a local volatility and jump covariance matrix. I find four stable continuous systematic factors, which can be well approximated by a market, oil, finance, and electricity portfolio, while there is only one stable jump market factor. The exposure of stocks to these risk factors and their explained variation is time-varying. The four continuous factors carry an intraday risk premium that reverses overnight.