NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Martin Thyrsgaard

Kellogg School of Management
Northwestern University
2211 Campus dr
Evanston, IL 60208

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
Institutional Affiliation: Northwestern University

NBER Working Papers and Publications

September 2019Cross-Sectional Dispersion of Risk in Trading Time
with Torben G. Andersen, Viktor Todorov: w26329
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-sectional dimension is fixed or increasing. We derive a Central Limit Theorem (CLT) for the cross-sectional beta dispersion at a point in time, enabling us to test whether this quantity varies across the trading day. We further derive a functional CLT for the dispersion statistics, allowing us to test if the beta dispersion, as a function of time-of-day, changes across days. We extend this further by developing inference techniques for the entire cross-sectional beta distribution at fixed point...
 
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