Cross-Sectional Dispersion of Risk in Trading Time
收藏NBER2019-09-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w26329
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资源简介：
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 the returns increasing to infinity, while the time span of the data remains fixed, and the cross
提供机构：
美国国家经济研究局
创建时间：
2019-09-01
