A0700
Title: Exploring systematic risk through high-frequency panel regressions
Authors: Ji Hyung Lee - University of Illinois at Urbana-Champaign (United States) [presenting]
Torben Andersen - Northwestern University (United States)
Viktor Todorov - Northwestern University (United States)
Abstract: The conditional expectation of systematic risk is studied using high-frequency asset return data. We model conditional expectation of systematic risk through linear regressions with various economic conditioning variables. An interesting nonstandard limit theory arises from the measurement errors of the systematic risk, which is estimated from intraday return data. We provide consistency and asymptotic normality that are strikingly different from conventional dynamic panel regressions.
