The conditional CAPM is alive and well; now at ultra-high (intra-day) frequencies. Witness, for example, the first SoFiE YouTube "show" (seminar), last week: "Recalcitrant Betas: Intraday Variation in the Cross-Sectional Dispersion of Systematic Risk and Expected Returns," by Torben G. Andersen, Martin Thyrsgaard, and Viktor Todorov,
https://www.youtube.com/channel/UCDUUkbiY_UcadeG7CeVCf2w/featured?view_as=subscriber
Things have come a long way since early GARCH work like
http://econ.duke.edu/~boller/Published_Papers/jpe_88.pdf
and early realized vol work like
https://www.sas.upenn.edu/~fdiebold/papers/paper59/RealizedBeta.pdf.
For the full SoFie seminar schedule see
https://sofie.stern.nyu.edu/node/6137/.
The seminar leader, Andrew Patton, runs a nice tight ship: 40 min presentation, 10 min discussant, 10 min Q&A keeps everyone focused and engaged. And all seminars are recorded for later viewing.
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