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DTSTART:20220313T070000
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DTSTART;TZID=America/Toronto:20221014T160000
SEQUENCE:0
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URL:https://uwaterloo.ca/statistics-and-actuarial-science/events/david-spro
 tt-distinguished-lecture-viktor-todorov
LOCATION:EIT - Centre for Environmental and Information Technology Room: EI
 T 1015 Waterloo Canada
SUMMARY:David Sprott Distinguished Lecture by Viktor Todorov
CLASS:PUBLIC
DESCRIPTION:Please Note: This seminar will be given in-person.\n\nRECALCIT
 RANT BETAS: INTRADAY CROSS-SECTIONAL DISTRIBUTIONS OF\nSYSTEMATIC RISK\n\n
 -------------------------\n\nHigh-frequency financial data allows for effi
 cient estimation of\nassets’ exposures to systematic risk\, provided the
 se exposures do\nnot vary significantly at high frequencies.  We develop 
 a test for\ndeciding whether this is the case. The test is constructed for
  a panel\nof high-frequency asset returns\, with the size of the cross-sec
 tion\nand the sampling frequency increasing simultaneously. It is based on
  a\ncomparison of the empirical characteristic functions of estimates of\n
 the assets' factor loadings at different parts of the trading day\,\nforme
 d from local blocks of asset returns and the corresponding factor\nrealiza
 tions. The limiting behavior of the test statistic is governed\nby unobser
 vable latent factors in the asset prices. Empirical\nimplementation of the
  test to stocks in the S&P 500 index and the five\nFama-French factors\, a
 s well as the momentum factor\, reveals different\nintraday behavior of th
 e factor loadings: assets' exposure to size\,\nmarket and value risks vary
  systematically over the trading day while\nthe three remaining factors do
  not exhibit statistically significant\nintraday variation. Moreover\, we
  find diverse\, and for some factors\nlarge\, reactions in the assets' f
 actor loadings to major economic or\nfirm specific news releases. Finally\
 , we document that time-varying\ncorrelations between the observable risk 
 factors drive a wedge between\nthe time-of-day pattern of market betas\, e
 stimated with and without\ncontrol for the other observable risk factors.
DTSTAMP:20260410T173219Z
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