Corradi, Valentina; Distaso, Walter; Fernandes, Marcelo - Escola de Economia de São Paulo (EESP), Fundação … - 2013
This paper proposes a two-step procedure to back out the conditional alpha of a given stock using high-frequency data. We rst estimate the realized factor loadings of the stocks, and then retrieve their conditional alphas by estimating the conditional expectation of their risk- adjusted returns....