time-varying weight in new lists, and one can decompose the market return into a fixed weight return plus a timing return …

average returns. This rules out typical risk-based explanations and is a challenge to structural models of time …

, while the time span of the data remains fixed, and the cross-sectional dimension is fixed or increasing. We derive a Central … Limit Theorem (CLT) for the cross-sectional beta dispersion at a point in time, enabling us to test whether this quantity … beta dispersion, as a function of time-of-day, changes across days. We extend this further by developing inference …

rates predictable? This paper proposes an answer to these questions based on a time-varying probability of a consumption … disaster. In the model, aggregate consumption follows a normal distribution with low volatility most of the time, but with some … the equity premium, while time-variation in the probability of this outcome drives high stock market volatility and excess …

periods, including those induced by Daylight Saving Time changes, weather conditions and anticipation of major holidays …