16 abril 2020

Risco Sistemático via dados de alta frequência


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 with a principal component analysis applied to a local volatility and jump covariance matrix. I find four stable continuous systematic factors, which can be approximated very well by a market, oil, finance and electricity portfolio, while there is only one stable jump market factor. The risk exposure to these factors varies substantially over time. The four continuous factors carry an intraday risk premium that reverses overnight.

Understanding Systematic Risk: A High-Frequency Approach
Journal of Finance, 2020- MARKUS PELGER

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