, 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 …

controls, instrumental variables estimation, the inclusion of individual fixed effects, and specification checks to rule out …

. These results are robust across multiple time periods, international equity markets, and other asset classes …