Research

Working Papers

The High-Frequency Factor Zoo

Paper • Online Appendix • Data

Abstract: I construct a novel dataset of 224 high-frequency factor portfolios in order to study the cross-section of expected returns in a continuous-time setting. I estimate the continuous and semijump risk premia for each of these factors and find that jump and semijump risk are often priced and command a larger risk premia than continuous risk. Furthermore, there only a few clusters of factors, corresponding to less than a third of the zoo, with significant continuous and semijump risk premia. Additionally, I decompose cross-sectional variation in expected returns into variation from exposure to the continuous and jump factor risk. I find that the majority of cross-sectional variation comes from jump risk and that most stocks draw significant jump risk premia.

News and Asset Pricing: A High-Frequency Anatomy of the SDF

Paper • Online Appendix

Abstract: We rely on a unique set of high-frequency factors to robustly estimate an intraday Stochastic Discount Factor (SDF). Exploiting the precisely timed jumps in the estimated SDF together with real-time newswire data, we identify and precise the news that are priced. We find that news related to monetary policy and finance on average account for the largest portion of the variation in the SDF and the tangency portfolio risk premium, followed by news about international affairs and macroeconomic data. Reflecting investors changing economic concerns, we also uncover significant temporal variation in the relative importance of the news that matter. Relying on a standard mimicking portfolio approach, we further document marked differences in the way in which the news, and the compensation therefor, manifest in the ``factor zoo.''

Publications