A Transactions Data Analysis of Intraday Betas.

Using a sample of twenty-seven stocks from the Dow Jones Industrial Average for the years 1986-92, we examine the equality of beta for individual firms during the trading day. Both alphas and betas are found to differ through the trading day. Evidence suggests these changes are systematic for individual stocks. Using the midday beta as the base, the number of rejections of beta equality follow a U-shaped pattern through the trading day, indicating the differing distributions (U-shaped patterns) for intraday returns are reflected in similar changes in beta. These results have implications for further developing and testing market microstructure models. Copyright 1998 by MIT Press.