The High-Frequency Factor Zoo

59 Pages Posted: 18 Mar 2022 Last revised: 25 Sep 2022

See all articles by Saketh Aleti

Saketh Aleti

Duke University, Department of Economics

Date Written: January 25, 2022

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.

Keywords: Factors, asset pricing, high frequency data, jump risk premia

JEL Classification: C55, C58, G11, G12

Suggested Citation

Aleti, Saketh, The High-Frequency Factor Zoo (January 25, 2022). Available at SSRN: https://ssrn.com/abstract=4021620 or http://dx.doi.org/10.2139/ssrn.4021620

Saketh Aleti (Contact Author)

Duke University, Department of Economics ( email )

Durham, NC
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
1,042
Abstract Views
2,055
Rank
40,772
PlumX Metrics